Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Investment Bank backtest
10 trend-following strategies were compared on the full daily history of Saudi Investment Bank. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.9%, MDD -63.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.0%, drawdown -79.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -7.5%, Sharpe 0.38, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.9%, MDD -63.1%, exposure 31%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 72.3%p (CAGR 8.9%, MDD -63.1%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=34 |
1.4% | -7.5% | 0.38 | 0.19 | 1.3x | 2 | 2% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
8.9% | -63.1% | 0.35 | 0.14 | 4.1x | 55 | 37% |
| Donchian 채널 돌파 entryN=49, exitN=14 |
8.9% | -63.1% | 0.35 | 0.14 | 4.1x | 51 | 31% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=2.5 |
6.9% | -63.1% | 0.32 | 0.11 | 3.0x | 57 | 34% |
| Supertrend period=16, mult=3.5 |
5.9% | -74.7% | 0.31 | 0.08 | 2.6x | 87 | 56% |
| EMA 크로스오버 fast=58, slow=61 |
5.1% | -63.8% | 0.29 | 0.08 | 2.3x | 39 | 56% |
| Parabolic SAR step=0.01, maxStep=0.14 |
4.9% | -73.4% | 0.29 | 0.07 | 2.2x | 165 | 51% |
| SMA 크로스오버 fast=9, slow=88 |
4.4% | -66.7% | 0.28 | 0.07 | 2.0x | 65 | 50% |
| ROC 모멘텀 n=67, threshold=-0.02 |
3.6% | -65.8% | 0.27 | 0.05 | 1.8x | 175 | 59% |
| MACD fast=16, slow=31, signal=19 |
1.3% | -82.7% | 0.23 | 0.02 | 1.2x | 181 | 50% |
| Buy and hold | 5.0% | -79.8% | 0.31 | 0.06 | 2.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)