Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turk Telekomunikasyon A.S. backtest
10 trend-following strategies were compared on the full daily history of Turk Telekomunikasyon A.S.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.0%, drawdown -64.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -57.9%, Sharpe 0.49, 76% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=49, exitN=96 |
11.2% | -57.9% | 0.49 | 0.19 | 7.0x | 26 | 76% |
| ROC 모멘텀 n=129, threshold=-0.04 |
10.3% | -66.9% | 0.47 | 0.15 | 6.1x | 144 | 69% |
| EMA 크로스오버 fast=49, slow=219 |
9.8% | -69.4% | 0.45 | 0.14 | 5.5x | 26 | 64% |
| SMA 크로스오버 fast=51, slow=137 |
8.2% | -53.7% | 0.41 | 0.15 | 4.2x | 44 | 60% |
| Supertrend period=17, mult=3.6 |
6.8% | -64.7% | 0.38 | 0.11 | 3.4x | 104 | 50% |
| 볼린저 밴드 돌파 n=40, k=1.5 |
6.0% | -48.8% | 0.36 | 0.12 | 2.9x | 128 | 40% |
| MACD fast=10, slow=35, signal=18 |
5.6% | -74.2% | 0.34 | 0.08 | 2.7x | 267 | 50% |
| Parabolic SAR step=0.005, maxStep=0.12 |
5.6% | -73.9% | 0.34 | 0.08 | 2.7x | 152 | 52% |
| ADX / DI 방향성 period=8, threshold=37 |
3.8% | -43.7% | 0.30 | 0.09 | 2.0x | 174 | 20% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=17, mult=1.2 |
3.0% | -60.3% | 0.24 | 0.05 | 1.7x | 210 | 38% |
| Buy and hold | 14.0% | -64.1% | 0.54 | 0.22 | 11.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 49 days
- Sell — Sell when price breaks below the lowest low of the last 96 days