Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turkiye Vakiflar Bankasi Turk Anonim Ortakligi backtest
10 trend-following strategies were compared on the full daily history of Turkiye Vakiflar Bankasi Turk Anonim Ortakligi. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.5%, MDD -43.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 11.9%, drawdown -78.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 18.6%, MDD -54.0%, Sharpe 0.72, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 17.5%, MDD -43.4%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.28 |
18.6% | -54.0% | 0.72 | 0.35 | 34.9x | 167 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=14 |
18.2% | -62.2% | 0.72 | 0.29 | 32.5x | 151 | 49% |
| Supertrend period=28, mult=4.4 |
17.0% | -51.4% | 0.70 | 0.33 | 26.2x | 91 | 44% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=0.5 |
17.5% | -43.4% | 0.70 | 0.40 | 28.3x | 283 | 48% |
| 볼린저 밴드 돌파 n=21, k=0.7 |
16.3% | -43.4% | 0.67 | 0.38 | 23.2x | 323 | 45% |
| MACD fast=24, slow=55, signal=11 |
15.8% | -50.0% | 0.63 | 0.32 | 21.2x | 223 | 52% |
| ADX / DI 방향성 period=14, threshold=10 |
15.1% | -54.1% | 0.61 | 0.28 | 18.5x | 413 | 52% |
| SMA 크로스오버 fast=6, slow=24 |
14.6% | -49.4% | 0.60 | 0.29 | 16.8x | 249 | 52% |
| ROC 모멘텀 n=19, threshold=0 |
13.4% | -57.6% | 0.56 | 0.23 | 13.6x | 449 | 52% |
| EMA 크로스오버 fast=74, slow=212 |
9.1% | -71.9% | 0.43 | 0.13 | 6.2x | 25 | 58% |
| Buy and hold | 11.9% | -78.5% | 0.47 | 0.15 | 10.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots