Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Haci Omer Sabanci Holding A.S. backtest
10 trend-following strategies were compared on the full daily history of Haci Omer Sabanci Holding A.S.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -71.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.5%, MDD -58.3%, Sharpe 0.55, 44% exposure.
CAGR reference leader: MACD — CAGR 11.6%, MDD -67.7%, exposure 51%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=1.1 |
11.5% | -58.3% | 0.55 | 0.20 | 17.6x | 256 | 44% |
| MACD fast=16, slow=34, signal=17 |
11.6% | -67.7% | 0.53 | 0.17 | 17.7x | 308 | 51% |
| Donchian 채널 돌파 entryN=15, exitN=13 |
9.8% | -57.7% | 0.47 | 0.17 | 11.5x | 206 | 52% |
| ADX / DI 방향성 period=14, threshold=26 |
7.8% | -40.5% | 0.47 | 0.19 | 7.1x | 186 | 23% |
| SMA 크로스오버 fast=14, slow=68 |
9.5% | -68.3% | 0.46 | 0.14 | 10.8x | 116 | 56% |
| EMA 크로스오버 fast=15, slow=31 |
9.1% | -60.3% | 0.44 | 0.15 | 9.8x | 170 | 56% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=1.4 |
7.8% | -58.2% | 0.42 | 0.13 | 7.2x | 244 | 40% |
| Supertrend period=22, mult=2.3 |
8.0% | -64.6% | 0.41 | 0.12 | 7.6x | 290 | 51% |
| ROC 모멘텀 n=19, threshold=0 |
6.6% | -69.6% | 0.36 | 0.09 | 5.3x | 614 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.3% | -59.8% | 0.32 | 0.09 | 3.8x | 214 | 51% |
| Buy and hold | 13.8% | -71.3% | 0.52 | 0.19 | 30.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 31-day middle average