Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Yapi ve Kredi Bankasi A.S. backtest
10 trend-following strategies were compared on the full daily history of Yapi ve Kredi Bankasi A.S.. 10 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 12.7%, MDD -48.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.5%, drawdown -98.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.4%, MDD -49.2%, Sharpe 0.57, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 12.7%, MDD -48.0%, exposure 43%).
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=19, exitN=11 |
14.4% | -49.2% | 0.57 | 0.29 | 33.7x | 214 | 45% |
| 볼린저 밴드 돌파 n=24, k=1.1 |
13.3% | -57.3% | 0.56 | 0.23 | 26.2x | 322 | 44% |
| MACD fast=16, slow=23, signal=16 |
14.2% | -76.7% | 0.56 | 0.19 | 32.5x | 354 | 52% |
| Parabolic SAR step=0.06, maxStep=0.08 |
13.6% | -81.6% | 0.55 | 0.17 | 28.5x | 528 | 53% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=10, mult=1.5 |
12.7% | -48.0% | 0.53 | 0.27 | 23.2x | 212 | 43% |
| ROC 모멘텀 n=93, threshold=-0.03 |
13.9% | -67.4% | 0.53 | 0.21 | 30.6x | 252 | 63% |
| ADX / DI 방향성 period=16, threshold=12 |
13.2% | -62.8% | 0.52 | 0.21 | 25.8x | 446 | 51% |
| EMA 크로스오버 fast=49, slow=111 |
11.6% | -59.9% | 0.49 | 0.19 | 17.7x | 38 | 59% |
| Supertrend period=25, mult=2.8 |
11.7% | -56.1% | 0.49 | 0.21 | 18.1x | 224 | 54% |
| SMA 크로스오버 fast=21, slow=158 |
8.9% | -64.3% | 0.41 | 0.14 | 9.2x | 68 | 60% |
| Buy and hold | 2.5% | -98.5% | 0.38 | 0.02 | 1.9x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 11 days