Trend-Following Backtester · Guide · backtest 한국어
equity · KW
Al Ahli Bank Of Kuwait backtest
10 trend-following strategies were compared on the full daily history of Al Ahli Bank Of Kuwait. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -67.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.8%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.9%, MDD -67.1%, Sharpe 0.34, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 5.9%, MDD -67.1%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=201 |
5.9% | -67.1% | 0.34 | 0.09 | 4.6x | 30 | 55% |
| SMA 크로스오버 fast=10, slow=200 |
4.2% | -77.3% | 0.30 | 0.05 | 3.0x | 72 | 55% |
| Donchian 채널 돌파 entryN=107, exitN=129 |
-19.5% | -100.0% | 0.19 | -0.20 | 0.0x | 26 | 62% |
| ROC 모멘텀 n=140, threshold=0.1 |
-0.1% | -72.6% | 0.17 | -0.00 | 1.0x | 168 | 32% |
| 볼린저 밴드 돌파 n=27, k=2.9 |
0.6% | -64.5% | 0.13 | 0.01 | 1.2x | 94 | 18% |
| ADX / DI 방향성 period=29, threshold=21 |
-0.5% | -75.9% | 0.08 | -0.01 | 0.9x | 110 | 19% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=4 |
-0.6% | -82.2% | 0.07 | -0.01 | 0.9x | 76 | 24% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.2% | -92.5% | 0.01 | -0.03 | 0.4x | 155 | 52% |
| Supertrend period=17, mult=5 |
-7.1% | -98.0% | -0.03 | -0.07 | 0.1x | 128 | 55% |
| MACD fast=16, slow=51, signal=20 |
-12.8% | -99.1% | -0.31 | -0.13 | 0.0x | 309 | 50% |
| Buy and hold | 4.8% | -100.0% | 0.20 | 0.05 | 3.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 201-day EMA
- Sell — Sell when the 39-day EMA falls below the 201-day EMA