Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Bupa Arabia for Cooperative Insurance Co. backtest
10 trend-following strategies were compared on the full daily history of Bupa Arabia for Cooperative Insurance Co.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 21.1%, drawdown -83.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.2%, MDD -83.0%, Sharpe 0.48, 90% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=31, exitN=255 |
22.2% | -83.0% | 0.48 | 0.27 | 27.2x | 9 | 90% |
| EMA 크로스오버 fast=30, slow=137 |
17.7% | -78.4% | 0.44 | 0.23 | 14.8x | 28 | 64% |
| SMA 크로스오버 fast=21, slow=148 |
17.3% | -78.1% | 0.43 | 0.22 | 13.9x | 30 | 61% |
| ROC 모멘텀 n=147, threshold=-0.03 |
14.8% | -80.8% | 0.42 | 0.18 | 9.7x | 119 | 69% |
| Supertrend period=28, mult=3.4 |
9.6% | -74.7% | 0.36 | 0.13 | 4.5x | 92 | 54% |
| ADX / DI 방향성 period=35, threshold=14 |
6.5% | -77.7% | 0.33 | 0.08 | 2.8x | 100 | 46% |
| MACD fast=8, slow=28, signal=15 |
1.3% | -82.9% | 0.28 | 0.02 | 1.2x | 294 | 49% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=0.7 |
0.0% | -90.6% | 0.25 | 0.00 | 1.0x | 152 | 53% |
| Parabolic SAR step=0.035, maxStep=0.34 |
-2.7% | -89.8% | 0.25 | -0.03 | 0.6x | 412 | 51% |
| 볼린저 밴드 돌파 n=19, k=1.6 |
-4.6% | -91.2% | 0.18 | -0.05 | 0.5x | 194 | 36% |
| Buy and hold | 21.1% | -83.0% | 0.48 | 0.25 | 23.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 31 days
- Sell — Sell when price breaks below the lowest low of the last 255 days