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 21.9%, MDD -53.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.3%, drawdown -68.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.9%, MDD -53.4%, Sharpe 0.75, 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 21.9%, 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 |
21.9% | -53.4% | 0.75 | 0.41 | 184.7x | 31 | 77% |
| SMA 크로스오버 fast=54, slow=225 |
19.9% | -58.5% | 0.73 | 0.34 | 118.4x | 29 | 67% |
| EMA 크로스오버 fast=50, slow=123 |
17.7% | -57.9% | 0.68 | 0.31 | 73.5x | 49 | 66% |
| ROC 모멘텀 n=149, threshold=-0.01 |
15.7% | -63.8% | 0.61 | 0.25 | 46.2x | 195 | 68% |
| Supertrend period=8, mult=2.9 |
10.9% | -64.0% | 0.50 | 0.17 | 15.1x | 227 | 56% |
| 볼린저 밴드 돌파 n=45, k=1.9 |
9.0% | -55.1% | 0.47 | 0.16 | 9.6x | 137 | 40% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=22, mult=2 |
8.6% | -53.3% | 0.44 | 0.16 | 8.9x | 151 | 45% |
| Parabolic SAR step=0.01, maxStep=0.16 |
8.4% | -65.6% | 0.42 | 0.13 | 8.3x | 335 | 53% |
| MACD fast=13, slow=33, signal=15 |
6.4% | -59.0% | 0.36 | 0.11 | 5.1x | 367 | 52% |
| ADX / DI 방향성 period=29, threshold=17 |
5.1% | -65.7% | 0.33 | 0.08 | 3.7x | 151 | 31% |
| Buy and hold | 23.3% | -68.8% | 0.72 | 0.34 | 245.7x | 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