Trend-Following Backtester · Guide · backtest 한국어
equity · KW
Gulf Bank K.S.C. backtest
10 trend-following strategies were compared on the full daily history of Gulf Bank K.S.C.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -67.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.0%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -69.9%, Sharpe 0.35, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 5.9%, MDD -67.3%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=217 |
6.2% | -69.9% | 0.35 | 0.09 | 5.0x | 39 | 58% |
| EMA 크로스오버 fast=30, slow=159 |
5.9% | -67.3% | 0.34 | 0.09 | 4.6x | 39 | 57% |
| Donchian 채널 돌파 entryN=97, exitN=79 |
2.5% | -80.1% | 0.24 | 0.03 | 1.9x | 39 | 59% |
| ROC 모멘텀 n=144, threshold=-0.03 |
0.5% | -90.3% | 0.22 | 0.01 | 1.1x | 217 | 67% |
| ADX / DI 방향성 period=14, threshold=29 |
1.1% | -57.5% | 0.15 | 0.02 | 1.3x | 180 | 22% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.6% | -86.5% | 0.06 | -0.04 | 0.4x | 147 | 50% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
-6.2% | -92.9% | -0.11 | -0.07 | 0.2x | 84 | 24% |
| MACD fast=18, slow=33, signal=15 |
-13.1% | -98.9% | -0.20 | -0.13 | 0.0x | 326 | 49% |
| Supertrend period=14, mult=4.8 |
-13.0% | -99.0% | -0.24 | -0.13 | 0.0x | 139 | 51% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=7, mult=3.8 |
-10.8% | -97.7% | -0.36 | -0.11 | 0.0x | 104 | 28% |
| Buy and hold | 2.0% | -100.0% | 0.20 | 0.02 | 1.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 28-day average falls below the 217-day average