Trend-Following Backtester · Guide · backtest 한국어
equity · TR
BIM Birlesik Magazalar A.S. backtest
10 trend-following strategies were compared on the full daily history of BIM Birlesik Magazalar A.S.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 28.7%, MDD -40.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 36.3%, drawdown -60.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.7%, MDD -40.9%, Sharpe 0.97, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.6%p lower than buy and hold, while drawdown improves by 19.8%p (CAGR 28.7%, MDD -40.9%, exposure 89%).
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=14, exitN=64 |
28.7% | -40.9% | 0.97 | 0.70 | 204.9x | 45 | 89% |
| SMA 크로스오버 fast=15, slow=190 |
25.3% | -41.9% | 0.93 | 0.60 | 117.1x | 47 | 76% |
| EMA 크로스오버 fast=36, slow=108 |
24.8% | -44.8% | 0.90 | 0.55 | 107.0x | 39 | 77% |
| ROC 모멘텀 n=143, threshold=-0.04 |
23.6% | -50.0% | 0.85 | 0.47 | 87.0x | 117 | 83% |
| Supertrend period=21, mult=5 |
18.0% | -39.8% | 0.75 | 0.45 | 33.1x | 63 | 66% |
| 볼린저 밴드 돌파 n=45, k=1.6 |
8.9% | -42.4% | 0.49 | 0.21 | 6.1x | 139 | 46% |
| ADX / DI 방향성 period=51, threshold=22 |
5.5% | -24.5% | 0.49 | 0.22 | 3.1x | 16 | 15% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=16, mult=2.2 |
6.3% | -45.2% | 0.40 | 0.14 | 3.6x | 143 | 37% |
| Parabolic SAR step=0.04, maxStep=0.34 |
6.6% | -72.6% | 0.38 | 0.09 | 3.8x | 655 | 55% |
| MACD fast=16, slow=52, signal=16 |
5.2% | -51.1% | 0.33 | 0.10 | 2.9x | 273 | 50% |
| Buy and hold | 36.3% | -60.7% | 1.07 | 0.60 | 685.5x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 64 days