Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Makkah Construction & Development Co. backtest
10 trend-following strategies were compared on the full daily history of Makkah Construction & Development Co.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 8.7%, MDD -29.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.7%, drawdown -53.7%).
Sharpe leader (same as main): MACD — CAGR 8.7%, MDD -29.7%, Sharpe 0.51, 47% exposure.
Return/drawdown alternative: MACD — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 8.7%, MDD -29.7%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=57, signal=19 |
8.7% | -29.7% | 0.51 | 0.29 | 3.9x | 126 | 47% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
6.1% | -24.2% | 0.49 | 0.25 | 2.6x | 32 | 18% |
| Supertrend period=8, mult=2.4 |
7.8% | -35.3% | 0.47 | 0.22 | 3.4x | 138 | 53% |
| Donchian 채널 돌파 entryN=23, exitN=68 |
7.6% | -48.9% | 0.43 | 0.16 | 3.3x | 33 | 78% |
| Parabolic SAR step=0.02, maxStep=0.04 |
6.1% | -44.5% | 0.39 | 0.14 | 2.6x | 154 | 51% |
| ROC 모멘텀 n=52, threshold=-0.08 |
6.4% | -54.7% | 0.38 | 0.12 | 2.8x | 109 | 82% |
| SMA 크로스오버 fast=49, slow=161 |
5.3% | -52.8% | 0.35 | 0.10 | 2.4x | 31 | 62% |
| ADX / DI 방향성 period=32, threshold=21 |
3.8% | -37.0% | 0.33 | 0.10 | 1.8x | 50 | 25% |
| EMA 크로스오버 fast=57, slow=186 |
3.9% | -59.0% | 0.29 | 0.07 | 1.9x | 27 | 58% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=11, mult=1.3 |
3.4% | -44.5% | 0.27 | 0.08 | 1.7x | 120 | 42% |
| Buy and hold | 7.7% | -53.7% | 0.41 | 0.14 | 3.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/57) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line