Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Basic Industries Corp. backtest
10 trend-following strategies were compared on the full daily history of Saudi Basic Industries Corp.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -9.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.5%, drawdown -64.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -9.0%, Sharpe 0.20, 2% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.9%, MDD -19.7%, exposure 19%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 55.3%p (CAGR 0.5%, MDD -9.0%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.3 |
0.5% | -9.0% | 0.20 | 0.05 | 1.1x | 6 | 2% |
| ADX / DI 방향성 period=39, threshold=17 |
0.9% | -19.7% | 0.15 | 0.04 | 1.2x | 46 | 19% |
| Donchian 채널 돌파 entryN=103, exitN=33 |
0.8% | -38.5% | 0.13 | 0.02 | 1.1x | 26 | 27% |
| EMA 크로스오버 fast=55, slow=183 |
0.7% | -40.0% | 0.12 | 0.02 | 1.1x | 22 | 47% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=4 |
0.2% | -12.9% | 0.09 | 0.02 | 1.0x | 8 | 2% |
| ROC 모멘텀 n=145, threshold=0.1 |
0.4% | -37.9% | 0.09 | 0.01 | 1.1x | 64 | 25% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.0% | -51.8% | 0.08 | -0.00 | 1.0x | 110 | 52% |
| SMA 크로스오버 fast=53, slow=69 |
-0.2% | -43.4% | 0.06 | -0.01 | 1.0x | 72 | 52% |
| MACD fast=16, slow=52, signal=69 |
-0.9% | -59.4% | 0.01 | -0.02 | 0.9x | 114 | 49% |
| Supertrend period=8, mult=4.8 |
-2.6% | -54.4% | -0.10 | -0.05 | 0.7x | 64 | 53% |
| Buy and hold | -3.5% | -64.3% | -0.04 | -0.06 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 14-day middle average