Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Al Rajhi Bank backtest
10 trend-following strategies were compared on the full daily history of Al Rajhi Bank. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -84.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.4%, MDD -88.9%, Sharpe 0.80, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR 3.9%, MDD -22.2%, exposure 15%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=6, threshold=-0.08 |
2.4% | -88.9% | 0.80 | 0.03 | 1.5x | 99 | 98% |
| Donchian 채널 돌파 entryN=10, exitN=47 |
-13.3% | -99.2% | 0.72 | -0.13 | 0.1x | 64 | 83% |
| SMA 크로스오버 fast=37, slow=129 |
-18.2% | -99.6% | 0.64 | -0.18 | 0.0x | 42 | 56% |
| ADX / DI 방향성 period=44, threshold=17 |
3.9% | -22.2% | 0.47 | 0.17 | 1.9x | 24 | 15% |
| EMA 크로스오버 fast=14, slow=77 |
-45.3% | -100.0% | 0.47 | -0.45 | 0.0x | 78 | 53% |
| MACD fast=5, slow=51, signal=4 |
-54.3% | -100.0% | 0.38 | -0.54 | 0.0x | 516 | 49% |
| Supertrend period=8, mult=5 |
-57.1% | -100.0% | 0.30 | -0.57 | 0.0x | 66 | 48% |
| Parabolic SAR step=0.06, maxStep=0.26 |
-64.2% | -100.0% | 0.19 | -0.64 | 0.0x | 538 | 50% |
| 볼린저 밴드 돌파 n=11, k=0.8 |
-64.1% | -100.0% | 0.19 | -0.64 | 0.0x | 436 | 42% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=3.7 |
-61.1% | -100.0% | -0.38 | -0.61 | 0.0x | 66 | 22% |
| Buy and hold | 7.5% | -84.1% | 0.81 | 0.09 | 3.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 6-day return is greater than -8%
- Sell — Sell when the 6-day return drops to -8% or below