Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turkiye Halk Bankasi Anonim Sirketi backtest
10 trend-following strategies were compared on the full daily history of Turkiye Halk Bankasi Anonim Sirketi. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.4%, MDD -62.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.7%, drawdown -80.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -75.6%, Sharpe 0.48, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 5.1%p (CAGR 8.4%, MDD -62.0%, exposure 45%).
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=46, slow=279 |
11.0% | -75.6% | 0.48 | 0.15 | 7.5x | 17 | 49% |
| Supertrend period=12, mult=3.1 |
8.7% | -64.1% | 0.42 | 0.14 | 5.0x | 146 | 48% |
| ROC 모멘텀 n=126, threshold=0.05 |
8.4% | -62.0% | 0.41 | 0.14 | 4.7x | 136 | 45% |
| EMA 크로스오버 fast=59, slow=207 |
8.3% | -83.3% | 0.41 | 0.10 | 4.6x | 21 | 48% |
| 볼린저 밴드 돌파 n=18, k=1.8 |
6.6% | -55.4% | 0.37 | 0.12 | 3.4x | 216 | 34% |
| Donchian 채널 돌파 entryN=113, exitN=77 |
5.8% | -73.1% | 0.33 | 0.08 | 3.0x | 24 | 42% |
| ADX / DI 방향성 period=11, threshold=12 |
2.3% | -82.5% | 0.23 | 0.03 | 1.5x | 422 | 54% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.3% | -66.8% | 0.23 | 0.04 | 1.6x | 164 | 48% |
| MACD fast=16, slow=23, signal=15 |
2.0% | -86.8% | 0.22 | 0.02 | 1.5x | 286 | 52% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=2.1 |
1.7% | -67.2% | 0.19 | 0.02 | 1.4x | 124 | 33% |
| Buy and hold | 7.7% | -80.7% | 0.38 | 0.10 | 4.2x | 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 46-day average price crosses above the 279-day average
- Sell — Sell (to cash) when the 46-day average falls below the 279-day average