Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Israel Discount Bank Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Israel Discount Bank Limited Class A. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.3%, MDD -30.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.9%, drawdown -76.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.5%, MDD -32.2%, Sharpe 0.93, 63% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 11.3%, MDD -30.4%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=36, slow=120 |
15.5% | -32.2% | 0.93 | 0.48 | 32.3x | 31 | 63% |
| EMA 크로스오버 fast=11, slow=101 |
14.3% | -43.0% | 0.86 | 0.33 | 25.1x | 61 | 65% |
| Donchian 채널 돌파 entryN=46, exitN=57 |
14.2% | -41.5% | 0.85 | 0.34 | 24.3x | 39 | 63% |
| ADX / DI 방향성 period=39, threshold=11 |
11.3% | -30.4% | 0.79 | 0.37 | 13.0x | 115 | 45% |
| ROC 모멘텀 n=103, threshold=0 |
11.9% | -55.1% | 0.74 | 0.22 | 15.1x | 141 | 64% |
| 볼린저 밴드 돌파 n=65, k=1.8 |
9.7% | -51.6% | 0.70 | 0.19 | 9.3x | 79 | 45% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=1.8 |
10.0% | -56.0% | 0.70 | 0.18 | 10.0x | 129 | 48% |
| MACD fast=46, slow=66, signal=25 |
10.8% | -54.6% | 0.68 | 0.20 | 11.7x | 105 | 51% |
| Supertrend period=7, mult=4.8 |
9.4% | -61.8% | 0.60 | 0.15 | 8.7x | 115 | 59% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.6% | -59.4% | 0.31 | 0.06 | 2.4x | 165 | 55% |
| Buy and hold | 10.9% | -76.3% | 0.55 | 0.14 | 12.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 36-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 36-day average falls below the 120-day average