Trend-Following Backtester · Guide · backtest 한국어
etf · IL
I.B.I. SAL (4A) Index Israel Banks IL backtest
10 trend-following strategies were compared on the full daily history of I.B.I. SAL (4A) Index Israel Banks IL. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.7%, MDD -22.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.9%, drawdown -39.3%).
Sharpe leader (same as main): Supertrend — CAGR 19.2%, MDD -28.1%, Sharpe 1.28, 66% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.7%, MDD -22.0%, exposure 83%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 11.2%p (CAGR 22.7%, MDD -22.0%, exposure 83%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=4.7 |
19.2% | -28.1% | 1.28 | 0.68 | 3.5x | 15 | 66% |
| ROC 모멘텀 n=135, threshold=-0.12 |
22.7% | -22.0% | 1.26 | 1.03 | 4.2x | 3 | 83% |
| ADX / DI 방향성 period=41, threshold=14 |
12.8% | -14.4% | 1.25 | 0.89 | 2.3x | 16 | 34% |
| Donchian 채널 돌파 entryN=80, exitN=45 |
17.9% | -24.7% | 1.22 | 0.73 | 3.2x | 6 | 60% |
| SMA 크로스오버 fast=37, slow=192 |
18.8% | -21.9% | 1.15 | 0.86 | 3.4x | 4 | 70% |
| EMA 크로스오버 fast=40, slow=143 |
18.5% | -25.2% | 1.14 | 0.74 | 3.3x | 5 | 72% |
| 볼린저 밴드 돌파 n=69, k=1.4 |
12.1% | -32.1% | 0.96 | 0.38 | 2.2x | 25 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=3.8 |
9.9% | -31.9% | 0.94 | 0.31 | 1.9x | 14 | 38% |
| Parabolic SAR step=0.03, maxStep=0.12 |
4.8% | -27.6% | 0.41 | 0.17 | 1.4x | 129 | 59% |
| MACD fast=23, slow=60, signal=14 |
1.9% | -44.5% | 0.22 | 0.04 | 1.1x | 65 | 52% |
| Buy and hold | 18.9% | -39.3% | 0.96 | 0.48 | 3.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)