Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Tofas Turk Otomobil Fabrikasi A.S. backtest
10 trend-following strategies were compared on the full daily history of Tofas Turk Otomobil Fabrikasi A.S.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.3%, MDD -52.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.9%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.3%, MDD -67.3%, Sharpe 0.77, 83% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 21.3%, MDD -52.1%, exposure 71%).
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=16, exitN=66 |
25.3% | -67.3% | 0.77 | 0.38 | 378.8x | 65 | 83% |
| Supertrend period=13, mult=3.9 |
19.9% | -52.7% | 0.73 | 0.38 | 118.3x | 128 | 57% |
| EMA 크로스오버 fast=69, slow=190 |
21.3% | -52.1% | 0.72 | 0.41 | 160.9x | 19 | 71% |
| MACD fast=19, slow=44, signal=18 |
18.9% | -69.9% | 0.71 | 0.27 | 95.3x | 267 | 51% |
| SMA 크로스오버 fast=59, slow=143 |
19.5% | -57.0% | 0.68 | 0.34 | 108.5x | 40 | 64% |
| ROC 모멘텀 n=85, threshold=-0.04 |
19.0% | -48.8% | 0.67 | 0.39 | 97.3x | 220 | 69% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
6.2% | -20.2% | 0.62 | 0.31 | 4.8x | 16 | 5% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=1.2 |
13.0% | -65.7% | 0.55 | 0.20 | 24.8x | 212 | 54% |
| ADX / DI 방향성 period=16, threshold=34 |
7.4% | -33.1% | 0.53 | 0.22 | 6.6x | 76 | 11% |
| Parabolic SAR step=0.005, maxStep=0.32 |
12.5% | -59.1% | 0.53 | 0.21 | 22.0x | 226 | 55% |
| Buy and hold | 21.9% | -85.8% | 0.66 | 0.26 | 184.1x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 66 days