Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Sasa Polyester Sanayi A.S. backtest
10 trend-following strategies were compared on the full daily history of Sasa Polyester Sanayi A.S.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 28.5%, MDD -55.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 23.1%, drawdown -88.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 25.3%, MDD -69.7%, Sharpe 0.88, 34% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 28.5%, MDD -55.9%, exposure 49%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 28.5%, MDD -55.9%, exposure 49%).
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=38, threshold=16 |
25.3% | -69.7% | 0.88 | 0.36 | 379.6x | 88 | 34% |
| ROC 모멘텀 n=177, threshold=0.07 |
28.5% | -55.9% | 0.87 | 0.51 | 738.4x | 134 | 49% |
| SMA 크로스오버 fast=29, slow=202 |
28.5% | -69.2% | 0.85 | 0.41 | 732.3x | 30 | 54% |
| Supertrend period=75, mult=4.9 |
25.8% | -73.4% | 0.85 | 0.35 | 420.2x | 88 | 47% |
| EMA 크로스오버 fast=34, slow=211 |
28.5% | -70.7% | 0.85 | 0.40 | 733.6x | 30 | 54% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=17, mult=1.9 |
22.8% | -67.5% | 0.80 | 0.34 | 222.4x | 132 | 38% |
| Donchian 채널 돌파 entryN=70, exitN=53 |
24.7% | -80.2% | 0.80 | 0.31 | 334.9x | 44 | 48% |
| 볼린저 밴드 돌파 n=19, k=2.2 |
20.0% | -62.4% | 0.79 | 0.32 | 121.8x | 204 | 29% |
| MACD fast=13, slow=51, signal=24 |
16.1% | -75.3% | 0.59 | 0.21 | 50.3x | 274 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
14.4% | -83.8% | 0.55 | 0.17 | 34.5x | 380 | 50% |
| Buy and hold | 23.1% | -88.5% | 0.66 | 0.26 | 237.5x | 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, 38-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)