Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Al Rajhi Co. for Cooperative Insurance backtest
10 trend-following strategies were compared on the full daily history of Al Rajhi Co. for Cooperative Insurance. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.5%, MDD -64.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.7%, drawdown -99.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.5%, MDD -64.8%, Sharpe 0.52, 44% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.9%, MDD -96.3%, exposure 78%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 34.2%p (CAGR 10.5%, MDD -64.8%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=14 |
10.5% | -64.8% | 0.52 | 0.16 | 5.1x | 108 | 44% |
| Donchian 채널 돌파 entryN=6, exitN=31 |
12.9% | -96.3% | 0.37 | 0.13 | 7.4x | 94 | 78% |
| MACD fast=9, slow=47, signal=7 |
12.5% | -91.4% | 0.36 | 0.14 | 6.9x | 295 | 48% |
| ROC 모멘텀 n=64, threshold=-0.09 |
11.2% | -90.9% | 0.36 | 0.12 | 5.7x | 122 | 72% |
| Parabolic SAR step=0.025, maxStep=0.14 |
11.0% | -91.3% | 0.35 | 0.12 | 5.5x | 310 | 49% |
| Supertrend period=8, mult=3 |
-4.1% | -98.7% | 0.26 | -0.04 | 0.5x | 108 | 58% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=14, mult=1.1 |
-9.1% | -98.5% | 0.18 | -0.09 | 0.2x | 108 | 44% |
| SMA 크로스오버 fast=56, slow=179 |
-5.4% | -95.1% | 0.18 | -0.06 | 0.4x | 23 | 58% |
| 볼린저 밴드 돌파 n=34, k=1.2 |
-10.6% | -97.6% | 0.13 | -0.11 | 0.2x | 114 | 40% |
| EMA 크로스오버 fast=15, slow=87 |
-11.6% | -99.0% | 0.12 | -0.12 | 0.1x | 56 | 56% |
| Buy and hold | 12.7% | -99.0% | 0.39 | 0.13 | 7.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)