Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turk Altin Isletmeleri A.S. backtest
10 trend-following strategies were compared on the full daily history of Turk Altin Isletmeleri A.S.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 29.8%, MDD -51.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 28.9%, drawdown -80.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.8%, MDD -51.9%, Sharpe 0.83, 76% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 29.8%, MDD -51.9%, exposure 76%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=39, threshold=-0.09 |
29.8% | -51.9% | 0.83 | 0.57 | 73.0x | 165 | 76% |
| EMA 크로스오버 fast=23, slow=28 |
25.5% | -47.5% | 0.79 | 0.54 | 42.3x | 83 | 62% |
| Supertrend period=13, mult=4 |
23.0% | -50.8% | 0.76 | 0.45 | 30.1x | 72 | 54% |
| MACD fast=22, slow=54, signal=23 |
22.5% | -44.3% | 0.74 | 0.51 | 28.3x | 146 | 49% |
| Donchian 채널 돌파 entryN=15, exitN=67 |
24.7% | -60.3% | 0.72 | 0.41 | 37.7x | 49 | 80% |
| SMA 크로스오버 fast=17, slow=83 |
21.6% | -55.6% | 0.70 | 0.39 | 25.0x | 63 | 62% |
| ADX / DI 방향성 period=18, threshold=26 |
13.7% | -37.1% | 0.64 | 0.37 | 8.3x | 68 | 20% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
15.5% | -57.1% | 0.60 | 0.27 | 10.8x | 128 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=1.2 |
15.6% | -59.8% | 0.60 | 0.26 | 10.9x | 174 | 46% |
| Parabolic SAR step=0.035, maxStep=0.36 |
7.5% | -66.7% | 0.38 | 0.11 | 3.3x | 476 | 52% |
| Buy and hold | 28.9% | -80.9% | 0.76 | 0.36 | 65.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 39-day return is greater than -9%
- Sell — Sell when the 39-day return drops to -9% or below