Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Aselsan Elektronik Sanayi ve Ticaret A.S. Class B backtest
10 trend-following strategies were compared on the full daily history of Aselsan Elektronik Sanayi ve Ticaret A.S. Class B. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 28.8%, MDD -52.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 15.1%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 37.8%, MDD -57.0%, Sharpe 1.07, 68% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 42.8%, MDD -65.6%, exposure 84%.
Return/drawdown alternative: Parabolic SAR — CAGR is 22.7%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 28.8%, MDD -52.9%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=11, slow=219 |
37.8% | -57.0% | 1.07 | 0.66 | 4648.7x | 35 | 68% |
| Donchian 채널 돌파 entryN=13, exitN=68 |
42.8% | -65.6% | 1.07 | 0.65 | 11745.7x | 59 | 84% |
| EMA 크로스오버 fast=8, slow=103 |
36.2% | -60.1% | 1.04 | 0.60 | 3370.6x | 107 | 67% |
| ROC 모멘텀 n=95, threshold=-0.03 |
35.7% | -60.5% | 1.01 | 0.59 | 3068.4x | 179 | 69% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=26, mult=2.8 |
31.0% | -56.3% | 0.99 | 0.55 | 1227.0x | 80 | 51% |
| 볼린저 밴드 돌파 n=25, k=1.5 |
27.5% | -59.0% | 0.96 | 0.47 | 596.2x | 259 | 43% |
| Supertrend period=18, mult=4.5 |
30.3% | -73.5% | 0.94 | 0.41 | 1056.3x | 98 | 58% |
| Parabolic SAR step=0.015, maxStep=0.06 |
28.8% | -52.9% | 0.93 | 0.54 | 784.0x | 307 | 56% |
| ADX / DI 방향성 period=23, threshold=17 |
27.1% | -67.9% | 0.90 | 0.40 | 548.5x | 200 | 44% |
| MACD fast=17, slow=53, signal=12 |
22.2% | -71.4% | 0.75 | 0.31 | 196.3x | 301 | 52% |
| Buy and hold | 15.1% | -99.8% | 0.72 | 0.15 | 40.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 11-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 11-day average falls below the 219-day average