Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Almarai Company backtest
10 trend-following strategies were compared on the full daily history of Almarai Company. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -55.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.5%, MDD -55.8%, Sharpe 0.32, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 100% n=6, threshold=-0.14 |
5.5% | -55.8% | 0.32 | 0.10 | 2.4x | 11 | 100% |
| SMA 크로스오버 fast=44, slow=69 |
4.9% | -51.4% | 0.30 | 0.09 | 2.2x | 69 | 54% |
| Supertrend period=20, mult=4.7 |
3.6% | -47.0% | 0.26 | 0.08 | 1.8x | 49 | 55% |
| Donchian 채널 돌파 entryN=55, exitN=83 |
3.1% | -57.6% | 0.25 | 0.05 | 1.7x | 27 | 64% |
| 볼린저 밴드 돌파 n=67, k=2.8 |
2.6% | -46.4% | 0.22 | 0.06 | 1.5x | 31 | 26% |
| EMA 크로스오버 fast=33, slow=84 |
2.2% | -55.1% | 0.22 | 0.04 | 1.4x | 45 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=3.6 |
2.2% | -44.4% | 0.21 | 0.05 | 1.4x | 37 | 26% |
| ADX / DI 방향성 period=23, threshold=25 |
1.2% | -43.1% | 0.17 | 0.03 | 1.2x | 48 | 13% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-1.5% | -61.8% | 0.10 | -0.02 | 0.8x | 115 | 52% |
| MACD fast=18, slow=47, signal=17 |
-9.2% | -80.3% | -0.23 | -0.11 | 0.2x | 201 | 48% |
| Buy and hold | 5.4% | -55.8% | 0.32 | 0.10 | 2.4x | 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 -14%
- Sell — Sell when the 6-day return drops to -14% or below