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 6.9%, drawdown -85.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -45.5%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 8.8%, MDD -45.5%, exposure 50%).
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 | 50% |
| EMA 크로스오버 fast=24, slow=48 |
8.7% | -52.3% | 0.53 | 0.17 | 7.5x | 79 | 50% |
| Supertrend period=16, mult=3.4 |
8.0% | -53.1% | 0.49 | 0.15 | 6.3x | 107 | 50% |
| Donchian 채널 돌파 entryN=64, exitN=77 |
8.0% | -58.4% | 0.49 | 0.14 | 6.4x | 29 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=19, mult=3.6 |
4.9% | -25.1% | 0.48 | 0.19 | 3.2x | 38 | 14% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
3.0% | -16.2% | 0.48 | 0.18 | 2.0x | 13 | 5% |
| ADX / DI 방향성 period=42, threshold=12 |
7.2% | -66.9% | 0.47 | 0.11 | 5.4x | 68 | 40% |
| 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 |
0.3% | -75.5% | 0.14 | 0.00 | 1.1x | 267 | 50% |
| MACD fast=12, slow=29, signal=16 |
0.1% | -83.6% | 0.13 | 0.00 | 1.0x | 301 | 51% |
| Buy and hold | 6.9% | -85.0% | 0.41 | 0.08 | 5.0x | 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