Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turk Hava Yollari A.O. backtest
10 trend-following strategies were compared on the full daily history of Turk Hava Yollari A.O.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 58.2%, drawdown -75.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.7%, MDD -45.4%, Sharpe 0.85, 15% exposure.
CAGR reference leader: Parabolic SAR — CAGR 49.5%, MDD -67.9%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=28 |
13.7% | -45.4% | 0.85 | 0.30 | 28.8x | 36 | 15% |
| 볼린저 밴드 돌파 n=41, k=2.2 |
19.2% | -47.6% | 0.85 | 0.40 | 100.3x | 108 | 33% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=1.1 |
21.7% | -44.4% | 0.82 | 0.49 | 173.5x | 274 | 42% |
| ROC 모멘텀 n=146, threshold=0.14 |
18.1% | -76.7% | 0.74 | 0.24 | 77.8x | 163 | 41% |
| Donchian 채널 돌파 entryN=95, exitN=16 |
15.1% | -55.2% | 0.74 | 0.27 | 39.7x | 78 | 27% |
| Supertrend period=10, mult=4.5 |
20.0% | -73.8% | 0.71 | 0.27 | 120.4x | 108 | 52% |
| EMA 크로스오버 fast=43, slow=210 |
18.8% | -69.4% | 0.70 | 0.27 | 91.7x | 37 | 60% |
| SMA 크로스오버 fast=24, slow=180 |
17.9% | -71.0% | 0.68 | 0.25 | 75.5x | 57 | 56% |
| Parabolic SAR step=0.03, maxStep=0.16 |
49.5% | -67.9% | 0.19 | 0.73 | 37953.2x | 604 | 54% |
| MACD fast=12, slow=36, signal=12 |
47.8% | -72.8% | 0.19 | 0.66 | 27994.9x | 398 | 52% |
| Buy and hold | 58.2% | -75.0% | 0.19 | 0.78 | 166841.2x | 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, 30-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)