Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turk Altin Isletmeleri A.S. backtest
10 trend-following strategies were compared on the full daily history of Turk Altin Isletmeleri A.S.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 31.0%, MDD -51.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 30.1%, drawdown -80.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.0%, MDD -51.9%, Sharpe 0.86, 76% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 31.0%, MDD -51.9%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=39, threshold=-0.09 |
31.0% | -51.9% | 0.86 | 0.60 | 87.4x | 165 | 76% |
| EMA 크로스오버 fast=23, slow=28 |
25.4% | -47.5% | 0.79 | 0.53 | 42.5x | 85 | 62% |
| Donchian 채널 돌파 entryN=15, exitN=67 |
25.9% | -60.3% | 0.75 | 0.43 | 45.2x | 49 | 80% |
| Supertrend period=13, mult=4 |
22.3% | -54.1% | 0.74 | 0.41 | 28.1x | 73 | 54% |
| MACD fast=22, slow=54, signal=23 |
22.1% | -44.3% | 0.73 | 0.50 | 27.4x | 147 | 49% |
| SMA 크로스오버 fast=17, slow=83 |
22.8% | -55.6% | 0.73 | 0.41 | 30.0x | 63 | 62% |
| ADX / DI 방향성 period=18, threshold=26 |
13.6% | -37.1% | 0.64 | 0.37 | 8.3x | 68 | 19% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=1.2 |
14.6% | -59.8% | 0.57 | 0.24 | 9.6x | 177 | 46% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
14.3% | -57.1% | 0.57 | 0.25 | 9.1x | 131 | 46% |
| Parabolic SAR step=0.035, maxStep=0.36 |
7.1% | -66.7% | 0.37 | 0.11 | 3.1x | 479 | 52% |
| Buy and hold | 30.1% | -80.9% | 0.78 | 0.37 | 78.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 39-day return is greater than -9%
- Sell — Sell when the 39-day return drops to -9% or below