Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Tupras Turkiye Petrol Rafinerileri A.S. backtest
10 trend-following strategies were compared on the full daily history of Tupras Turkiye Petrol Rafinerileri A.S.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.6%, MDD -53.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.9%, drawdown -68.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.6%, MDD -53.4%, Sharpe 0.71, 77% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 15.4%p (CAGR 20.6%, MDD -53.4%, exposure 77%).
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=45, exitN=122 |
20.6% | -53.4% | 0.71 | 0.39 | 136.2x | 31 | 77% |
| SMA 크로스오버 fast=54, slow=225 |
18.6% | -58.5% | 0.70 | 0.32 | 87.4x | 29 | 67% |
| EMA 크로스오버 fast=50, slow=123 |
16.4% | -57.9% | 0.64 | 0.28 | 54.2x | 49 | 66% |
| ROC 모멘텀 n=149, threshold=-0.01 |
14.4% | -63.8% | 0.58 | 0.23 | 34.1x | 195 | 68% |
| Supertrend period=8, mult=2.9 |
9.6% | -64.0% | 0.46 | 0.15 | 11.2x | 227 | 55% |
| 볼린저 밴드 돌파 n=45, k=1.9 |
7.7% | -55.1% | 0.42 | 0.14 | 7.1x | 137 | 40% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=22, mult=2 |
7.4% | -53.3% | 0.40 | 0.14 | 6.5x | 151 | 45% |
| Parabolic SAR step=0.01, maxStep=0.16 |
7.5% | -65.6% | 0.39 | 0.11 | 6.7x | 334 | 53% |
| MACD fast=13, slow=33, signal=15 |
5.2% | -59.0% | 0.32 | 0.09 | 3.7x | 367 | 52% |
| ADX / DI 방향성 period=29, threshold=17 |
3.9% | -65.7% | 0.28 | 0.06 | 2.8x | 151 | 31% |
| Buy and hold | 21.9% | -68.8% | 0.69 | 0.32 | 181.2x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 122 days