Trend-Following Backtester · Guide · backtest 한국어
equity · EG
Orascom Construction Plc backtest
10 trend-following strategies were compared on the full daily history of Orascom Construction Plc. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.4%, drawdown -10.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 0.6%, MDD -4.8%, Sharpe 0.27, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 6.0%p (CAGR -0.1%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.2 |
0.6% | -4.8% | 0.27 | 0.14 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=22, slow=26 |
0.3% | -2.4% | 0.16 | 0.11 | 1.0x | 3 | 65% |
| SMA 크로스오버 fast=19, slow=34 |
0.2% | -1.5% | 0.12 | 0.15 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=12, k=1.6 |
0.1% | -4.9% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=12, mult=2.6 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| ROC 모멘텀 n=4, threshold=0 |
-0.1% | -9.7% | -0.03 | -0.01 | 1.0x | 12 | 2% |
| Supertrend period=27, mult=2 |
-0.4% | -5.8% | -0.11 | -0.06 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=18, threshold=18 |
-0.1% | -0.5% | -0.42 | -0.19 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=102, exitN=55 |
-0.1% | -0.5% | -0.45 | -0.20 | 1.0x | 1 | 88% |
| MACD Hold-like · Exposure 95% fast=10, slow=31, signal=15 |
-0.6% | -3.2% | -0.62 | -0.20 | 1.0x | 3 | 95% |
| Buy and hold | -0.4% | -10.7% | -0.05 | -0.04 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots