Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Mizrahi Tefahot Bank Ltd backtest
10 trend-following strategies were compared on the full daily history of Mizrahi Tefahot Bank 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 11.9%, drawdown -50.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -34.1%, Sharpe 0.58, 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=18, slow=176 |
8.5% | -34.1% | 0.58 | 0.25 | 8.6x | 32 | 62% |
| EMA 크로스오버 fast=37, slow=98 |
8.0% | -38.2% | 0.55 | 0.21 | 7.6x | 40 | 72% |
| Supertrend period=24, mult=4.9 |
7.6% | -39.9% | 0.54 | 0.19 | 6.9x | 55 | 66% |
| Donchian 채널 돌파 entryN=73, exitN=47 |
7.0% | -39.4% | 0.54 | 0.18 | 6.1x | 40 | 63% |
| ROC 모멘텀 n=118, threshold=-0.11 |
8.3% | -41.4% | 0.53 | 0.20 | 8.3x | 81 | 89% |
| 볼린저 밴드 돌파 n=97, k=3 |
4.0% | -25.4% | 0.42 | 0.16 | 2.8x | 30 | 29% |
| ADX / DI 방향성 period=49, threshold=39 |
0.8% | -46.7% | 0.14 | 0.02 | 1.2x | 2 | 9% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=2 |
0.7% | -41.4% | 0.14 | 0.02 | 1.2x | 121 | 40% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.8% | -75.8% | -0.01 | -0.02 | 0.6x | 177 | 60% |
| MACD fast=22, slow=51, signal=24 |
-2.5% | -76.4% | -0.07 | -0.03 | 0.5x | 203 | 45% |
| Buy and hold | 11.9% | -50.8% | 0.62 | 0.23 | 19.6x | 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 18-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 18-day average falls below the 176-day average