Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Bank Albilad backtest
10 trend-following strategies were compared on the full daily history of Bank Albilad. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.9%, drawdown -77.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -73.5%, Sharpe 0.38, 60% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=76, slow=245 |
14.0% | -73.5% | 0.38 | 0.19 | 8.7x | 14 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=58 |
10.8% | -73.5% | 0.37 | 0.15 | 5.4x | 49 | 84% |
| ROC 모멘텀 n=34, threshold=-0.06 |
8.1% | -73.5% | 0.34 | 0.11 | 3.6x | 177 | 79% |
| EMA 크로스오버 fast=14, slow=128 |
8.4% | -73.5% | 0.34 | 0.11 | 3.8x | 53 | 59% |
| Supertrend period=21, mult=4 |
7.2% | -81.0% | 0.33 | 0.09 | 3.2x | 79 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=10, mult=1.7 |
7.2% | -74.9% | 0.33 | 0.10 | 3.2x | 97 | 42% |
| MACD fast=13, slow=39, signal=17 |
6.6% | -82.3% | 0.32 | 0.08 | 2.9x | 189 | 49% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
6.8% | -78.7% | 0.32 | 0.09 | 3.0x | 125 | 42% |
| ADX / DI 방향성 period=36, threshold=13 |
5.8% | -74.1% | 0.31 | 0.08 | 2.5x | 102 | 43% |
| Parabolic SAR step=0.01, maxStep=0.38 |
4.4% | -83.4% | 0.30 | 0.05 | 2.1x | 177 | 52% |
| Buy and hold | 11.9% | -77.0% | 0.39 | 0.15 | 6.4x | 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 76-day average price crosses above the 245-day average
- Sell — Sell (to cash) when the 76-day average falls below the 245-day average