Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Yanbu National Petrochemical Co. backtest
10 trend-following strategies were compared on the full daily history of Yanbu National Petrochemical Co.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -10.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.7%, drawdown -71.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.6%, MDD -57.0%, Sharpe 0.18, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 0.3%, MDD -10.5%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=41, slow=149 |
1.6% | -57.0% | 0.18 | 0.03 | 1.3x | 23 | 49% |
| Donchian 채널 돌파 entryN=67, exitN=34 |
1.5% | -33.2% | 0.18 | 0.05 | 1.3x | 37 | 40% |
| SMA 크로스오버 fast=7, slow=110 |
1.3% | -52.6% | 0.17 | 0.03 | 1.2x | 59 | 47% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=21, mult=1.6 |
1.0% | -49.9% | 0.15 | 0.02 | 1.2x | 81 | 41% |
| Supertrend period=11, mult=3.6 |
0.9% | -50.3% | 0.14 | 0.02 | 1.2x | 89 | 51% |
| ROC 모멘텀 n=142, threshold=0.12 |
0.7% | -35.5% | 0.12 | 0.02 | 1.1x | 79 | 26% |
| ADX / DI 방향성 period=30, threshold=30 |
0.3% | -10.5% | 0.11 | 0.03 | 1.0x | 6 | 2% |
| 볼린저 밴드 돌파 n=36, k=1.5 |
0.2% | -41.7% | 0.09 | 0.00 | 1.0x | 101 | 34% |
| MACD fast=7, slow=14, signal=12 |
-7.2% | -83.8% | -0.29 | -0.09 | 0.3x | 383 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-7.1% | -80.7% | -0.29 | -0.09 | 0.3x | 135 | 51% |
| Buy and hold | -0.7% | -71.2% | 0.11 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 149-day EMA
- Sell — Sell when the 41-day EMA falls below the 149-day EMA