Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Kayan Petrochemical Co. backtest
10 trend-following strategies were compared on the full daily history of Saudi Kayan Petrochemical Co.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -23.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.6%, drawdown -81.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.7%, MDD -33.5%, Sharpe 0.46, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 2.9%, MDD -23.5%, exposure 12%).
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 n=121, threshold=0.13 |
5.7% | -33.5% | 0.46 | 0.17 | 2.5x | 70 | 23% |
| ADX / DI 방향성 period=39, threshold=21 |
2.9% | -23.5% | 0.34 | 0.12 | 1.6x | 26 | 12% |
| EMA 크로스오버 fast=12, slow=250 |
4.0% | -36.9% | 0.32 | 0.11 | 1.9x | 18 | 33% |
| Parabolic SAR step=0.015, maxStep=0.06 |
4.4% | -70.2% | 0.31 | 0.06 | 2.0x | 172 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=3.3 |
3.2% | -36.7% | 0.29 | 0.09 | 1.7x | 42 | 24% |
| SMA 크로스오버 fast=15, slow=216 |
3.4% | -50.1% | 0.27 | 0.07 | 1.7x | 26 | 37% |
| 볼린저 밴드 돌파 n=27, k=1.8 |
2.6% | -46.5% | 0.24 | 0.06 | 1.5x | 106 | 28% |
| MACD fast=6, slow=36, signal=19 |
2.7% | -51.5% | 0.24 | 0.05 | 1.6x | 236 | 49% |
| Supertrend period=28, mult=2.6 |
2.7% | -54.4% | 0.23 | 0.05 | 1.5x | 152 | 46% |
| Donchian 채널 돌파 entryN=116, exitN=33 |
1.3% | -43.2% | 0.16 | 0.03 | 1.2x | 24 | 26% |
| Buy and hold | -7.6% | -81.2% | -0.10 | -0.09 | 0.3x | 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 121-day return is greater than 13%
- Sell — Sell when the 121-day return drops to 13% or below