Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turkiye Vakiflar Bankasi Turk Anonim Ortakligi backtest
10 trend-following strategies were compared on the full daily history of Turkiye Vakiflar Bankasi Turk Anonim Ortakligi. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.5%, MDD -43.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 11.5%, drawdown -78.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.4%, MDD -62.2%, Sharpe 0.72, 49% exposure.
CAGR reference leader: Parabolic SAR — CAGR 18.4%, MDD -54.0%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 16.3%p (CAGR 17.5%, MDD -43.4%, exposure 48%).
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=16, exitN=14 |
18.4% | -62.2% | 0.72 | 0.30 | 33.1x | 150 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
18.4% | -54.0% | 0.72 | 0.34 | 33.2x | 166 | 50% |
| Supertrend period=28, mult=4.4 |
17.4% | -51.4% | 0.71 | 0.34 | 27.8x | 90 | 44% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=0.5 |
17.5% | -43.4% | 0.70 | 0.40 | 28.1x | 282 | 48% |
| 볼린저 밴드 돌파 n=21, k=0.7 |
17.0% | -43.4% | 0.69 | 0.39 | 25.9x | 318 | 45% |
| MACD fast=24, slow=55, signal=11 |
15.8% | -50.0% | 0.63 | 0.32 | 20.8x | 222 | 52% |
| ADX / DI 방향성 period=14, threshold=10 |
15.8% | -54.1% | 0.63 | 0.29 | 20.6x | 408 | 52% |
| SMA 크로스오버 fast=6, slow=24 |
14.5% | -49.4% | 0.59 | 0.29 | 16.6x | 246 | 52% |
| ROC 모멘텀 n=19, threshold=0 |
13.8% | -57.6% | 0.57 | 0.24 | 14.6x | 442 | 52% |
| EMA 크로스오버 fast=74, slow=212 |
8.7% | -71.9% | 0.42 | 0.12 | 5.7x | 25 | 58% |
| Buy and hold | 11.5% | -78.5% | 0.46 | 0.15 | 9.5x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 14 days