Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Migdal Insurance & Financial Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Migdal Insurance & Financial Holdings Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.8%, MDD -45.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.3%, drawdown -85.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -45.5%, Sharpe 0.54, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 8.8%, MDD -45.5%, exposure 51%).
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=39, slow=143 |
8.8% | -45.5% | 0.54 | 0.19 | 7.6x | 38 | 51% |
| EMA 크로스오버 fast=24, slow=48 |
8.4% | -52.3% | 0.52 | 0.16 | 6.8x | 78 | 50% |
| Supertrend period=16, mult=3.4 |
7.8% | -53.1% | 0.48 | 0.15 | 6.0x | 106 | 50% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=19, mult=3.6 |
4.9% | -25.1% | 0.48 | 0.20 | 3.2x | 38 | 14% |
| ADX / DI 방향성 period=42, threshold=12 |
7.3% | -66.9% | 0.47 | 0.11 | 5.4x | 68 | 41% |
| Donchian 채널 돌파 entryN=64, exitN=77 |
7.4% | -58.4% | 0.46 | 0.13 | 5.5x | 29 | 53% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
2.7% | -16.2% | 0.43 | 0.16 | 1.9x | 12 | 5% |
| ROC 모멘텀 n=74, threshold=0.02 |
4.0% | -55.7% | 0.32 | 0.07 | 2.6x | 204 | 45% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-0.2% | -75.5% | 0.11 | -0.00 | 0.9x | 266 | 50% |
| MACD fast=12, slow=29, signal=16 |
-0.5% | -83.6% | 0.10 | -0.01 | 0.9x | 301 | 51% |
| Buy and hold | 6.3% | -85.0% | 0.39 | 0.07 | 4.3x | 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 39-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 39-day average falls below the 143-day average