Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Bank Hapoalim BM backtest
10 trend-following strategies were compared on the full daily history of Bank Hapoalim BM. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.3%, MDD -46.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -73.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -40.3%, Sharpe 0.60, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.3%, MDD -46.9%, exposure 81%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 33.5%p (CAGR 9.3%, MDD -46.9%, exposure 81%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=61, exitN=52 |
8.6% | -40.3% | 0.60 | 0.21 | 7.2x | 40 | 61% |
| ROC 모멘텀 n=121, threshold=-0.08 |
9.3% | -46.9% | 0.58 | 0.20 | 8.4x | 93 | 81% |
| SMA 크로스오버 fast=53, slow=84 |
8.3% | -47.2% | 0.58 | 0.18 | 6.8x | 62 | 62% |
| EMA 크로스오버 fast=46, slow=91 |
8.3% | -42.3% | 0.57 | 0.20 | 6.7x | 34 | 67% |
| Supertrend period=19, mult=4.5 |
7.7% | -31.5% | 0.56 | 0.25 | 5.9x | 68 | 57% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=19, mult=3.9 |
4.4% | -47.0% | 0.42 | 0.09 | 2.8x | 52 | 32% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
3.8% | -33.9% | 0.40 | 0.11 | 2.4x | 46 | 26% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.9% | -72.3% | 0.22 | 0.03 | 1.6x | 173 | 57% |
| ADX / DI 방향성 period=34, threshold=18 |
1.2% | -72.6% | 0.17 | 0.02 | 1.3x | 40 | 23% |
| MACD fast=11, slow=39, signal=16 |
-2.3% | -79.8% | -0.04 | -0.03 | 0.6x | 283 | 51% |
| Buy and hold | 10.2% | -73.8% | 0.55 | 0.14 | 10.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 61 days
- Sell — Sell when price breaks below the lowest low of the last 52 days