Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Menora Mivtachim Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Menora Mivtachim Holdings Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -77.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -64.3%, Sharpe 0.57, 62% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=154 |
14.1% | -64.3% | 0.57 | 0.22 | 23.8x | 28 | 62% |
| EMA 크로스오버 fast=36, slow=153 |
9.7% | -74.3% | 0.53 | 0.13 | 9.2x | 45 | 65% |
| ROC 모멘텀 n=135, threshold=-0.11 |
5.3% | -91.1% | 0.51 | 0.06 | 3.5x | 185 | 77% |
| Donchian 채널 돌파 entryN=49, exitN=78 |
2.3% | -87.8% | 0.50 | 0.03 | 1.7x | 37 | 71% |
| ADX / DI 방향성 period=41, threshold=13 |
6.4% | -67.8% | 0.40 | 0.10 | 4.5x | 40 | 26% |
| MACD fast=23, slow=44, signal=31 |
-21.2% | -99.9% | 0.21 | -0.21 | 0.0x | 203 | 47% |
| Supertrend period=9, mult=5 |
-22.8% | -100.0% | 0.19 | -0.23 | 0.0x | 80 | 60% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-31.2% | -100.0% | 0.06 | -0.31 | 0.0x | 177 | 49% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=8, mult=2 |
-30.6% | -100.0% | -0.04 | -0.31 | 0.0x | 152 | 44% |
| 볼린저 밴드 돌파 n=59, k=2.5 |
-35.5% | -100.0% | -0.21 | -0.35 | 0.0x | 102 | 31% |
| Buy and hold | 14.4% | -77.7% | 0.68 | 0.18 | 24.9x | 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 154-day average
- Sell — Sell (to cash) when the 36-day average falls below the 154-day average