Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Dar Al Arkan Real Estate Development Co. backtest
10 trend-following strategies were compared on the full daily history of Dar Al Arkan Real Estate Development Co.. 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 10.5%, MDD -32.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.7%, drawdown -72.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.5%, MDD -32.5%, Sharpe 0.55, 37% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 10.5%, MDD -32.5%, exposure 37%).
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=44, k=1.3 |
10.5% | -32.5% | 0.55 | 0.32 | 5.2x | 83 | 37% |
| Supertrend period=16, mult=3.6 |
10.4% | -40.0% | 0.53 | 0.26 | 5.1x | 85 | 50% |
| EMA 크로스오버 fast=7, slow=29 |
10.3% | -42.0% | 0.52 | 0.24 | 5.0x | 125 | 49% |
| Donchian 채널 돌파 entryN=32, exitN=47 |
10.0% | -48.7% | 0.49 | 0.21 | 4.8x | 43 | 54% |
| SMA 크로스오버 fast=23, slow=111 |
9.3% | -41.8% | 0.47 | 0.22 | 4.3x | 39 | 50% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=23, mult=1.7 |
7.6% | -44.7% | 0.45 | 0.17 | 3.4x | 107 | 30% |
| ADX / DI 방향성 period=15, threshold=18 |
7.5% | -33.7% | 0.43 | 0.22 | 3.3x | 209 | 40% |
| MACD fast=11, slow=40, signal=16 |
6.6% | -52.3% | 0.38 | 0.13 | 2.9x | 199 | 52% |
| ROC 모멘텀 n=103, threshold=-0.08 |
6.3% | -58.9% | 0.36 | 0.11 | 2.7x | 113 | 65% |
| Parabolic SAR step=0.005, maxStep=0.2 |
4.7% | -55.1% | 0.31 | 0.09 | 2.1x | 117 | 49% |
| Buy and hold | 2.7% | -72.7% | 0.25 | 0.04 | 1.5x | 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 44-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 44-day middle average