Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Delek Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Delek Group Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.5%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -31.9%, MDD -100.0%, Sharpe 2.08, 86% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.6%, MDD -97.4%, exposure 30%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=9, exitN=72 |
-31.9% | -100.0% | 2.08 | -0.32 | 0.0x | 63 | 86% |
| SMA 크로스오버 fast=47, slow=48 |
-69.8% | -100.0% | 2.01 | -0.70 | 0.0x | 406 | 69% |
| ROC 모멘텀 n=100, threshold=-0.12 |
-86.4% | -100.0% | 1.86 | -0.86 | 0.0x | 324 | 71% |
| EMA 크로스오버 fast=41, slow=111 |
-95.2% | -100.0% | 1.60 | -0.95 | 0.0x | 84 | 51% |
| 볼린저 밴드 돌파 n=2, k=0.7 |
-99.7% | -100.0% | 1.35 | -1.00 | 0.0x | 2414 | 50% |
| Supertrend period=8, mult=4.7 |
-99.5% | -100.0% | 1.34 | -0.99 | 0.0x | 154 | 56% |
| MACD fast=17, slow=50, signal=15 |
-99.7% | -100.0% | 1.26 | -1.00 | 0.0x | 287 | 50% |
| Parabolic SAR step=0.075, maxStep=0.46 |
-100.0% | -100.0% | 0.93 | -1.00 | 0.0x | 804 | 44% |
| ADX / DI 방향성 period=51, threshold=8 |
-0.6% | -97.4% | 0.61 | -0.01 | 0.9x | 95 | 30% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=5, mult=0.4 |
-100.0% | -100.0% | 0.38 | -1.00 | 0.0x | 644 | 34% |
| Buy and hold | 4.5% | -99.5% | 2.19 | 0.05 | 2.9x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 72 days