Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Bezeq The Israel Telecommunication Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bezeq The Israel Telecommunication Corp. Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.6%, MDD -38.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.8%, drawdown -82.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -64.3%, Sharpe 0.48, 80% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.6%, MDD -38.7%, exposure 55%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 5.6%, MDD -38.7%, exposure 55%).
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=55, exitN=243 |
4.3% | -64.3% | 0.48 | 0.07 | 2.8x | 17 | 80% |
| EMA 크로스오버 fast=46, slow=208 |
5.6% | -38.7% | 0.48 | 0.14 | 3.7x | 19 | 55% |
| SMA 크로스오버 fast=59, slow=163 |
5.5% | -44.7% | 0.48 | 0.12 | 3.6x | 26 | 54% |
| Supertrend period=16, mult=4.3 |
2.2% | -57.8% | 0.43 | 0.04 | 1.7x | 59 | 49% |
| 볼린저 밴드 돌파 n=13, k=3.2 |
0.6% | -4.5% | 0.39 | 0.14 | 1.2x | 2 | 1% |
| ADX / DI 방향성 period=67, threshold=18 |
1.2% | -38.7% | 0.34 | 0.03 | 1.3x | 8 | 14% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=29, mult=3.3 |
1.3% | -17.2% | 0.27 | 0.08 | 1.4x | 14 | 3% |
| ROC 모멘텀 n=141, threshold=-0.11 |
-22.1% | -99.9% | 0.05 | -0.22 | 0.0x | 231 | 73% |
| MACD fast=28, slow=51, signal=30 |
-44.1% | -100.0% | -0.82 | -0.44 | 0.0x | 245 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-47.2% | -100.0% | -1.30 | -0.47 | 0.0x | 253 | 45% |
| Buy and hold | 1.8% | -82.3% | 0.46 | 0.02 | 1.5x | 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 55 days
- Sell — Sell when price breaks below the lowest low of the last 243 days