Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Harel Insurance Investments & Financial Services Ltd. backtest
10 trend-following strategies were compared on the full daily history of Harel Insurance Investments & Financial Services Ltd.. 2 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 16.3%, MDD -39.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.8%, drawdown -69.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -39.6%, Sharpe 0.85, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 16.3%, MDD -39.6%, exposure 58%).
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=77, exitN=92 |
16.3% | -39.6% | 0.85 | 0.41 | 37.8x | 23 | 58% |
| SMA 크로스오버 fast=40, slow=153 |
16.2% | -45.4% | 0.85 | 0.36 | 37.1x | 31 | 57% |
| ADX / DI 방향성 period=39, threshold=14 |
12.6% | -30.6% | 0.82 | 0.41 | 17.3x | 76 | 29% |
| 볼린저 밴드 돌파 n=70, k=3 |
9.4% | -25.4% | 0.76 | 0.37 | 8.6x | 22 | 18% |
| ROC 모멘텀 n=127, threshold=0.04 |
13.6% | -47.6% | 0.76 | 0.29 | 21.4x | 137 | 52% |
| EMA 크로스오버 fast=50, slow=138 |
13.7% | -39.3% | 0.73 | 0.35 | 22.0x | 31 | 61% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=20, mult=3.6 |
11.0% | -43.4% | 0.70 | 0.25 | 12.2x | 40 | 37% |
| Supertrend period=15, mult=4.4 |
10.9% | -47.7% | 0.60 | 0.23 | 12.1x | 65 | 56% |
| MACD fast=18, slow=49, signal=36 |
0.0% | -89.8% | 0.12 | 0.00 | 1.0x | 191 | 48% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-2.2% | -88.0% | 0.01 | -0.03 | 0.6x | 375 | 53% |
| Buy and hold | 14.8% | -69.5% | 0.63 | 0.21 | 27.8x | 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 77 days
- Sell — Sell when price breaks below the lowest low of the last 92 days