Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Tachlit SAL (40) TA 125 IL backtest
10 trend-following strategies were compared on the full daily history of Tachlit SAL (40) TA 125 IL. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.6%, MDD -15.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.3%, drawdown -33.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -15.0%, Sharpe 1.38, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 15.6%, MDD -15.0%, exposure 60%).
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=66, slow=218 |
15.6% | -15.0% | 1.38 | 1.04 | 2.8x | 3 | 60% |
| EMA 크로스오버 fast=57, slow=177 |
13.9% | -21.8% | 1.17 | 0.64 | 2.5x | 5 | 67% |
| ROC 모멘텀 n=124, threshold=-0.02 |
13.8% | -29.7% | 1.15 | 0.46 | 2.5x | 30 | 69% |
| Donchian 채널 돌파 entryN=87, exitN=62 |
11.4% | -23.6% | 1.06 | 0.48 | 2.1x | 7 | 60% |
| Supertrend period=10, mult=5 |
10.3% | -22.5% | 1.00 | 0.46 | 2.0x | 18 | 59% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=3.3 |
7.9% | -22.2% | 0.91 | 0.36 | 1.7x | 20 | 44% |
| ADX / DI 방향성 period=25, threshold=19 |
6.0% | -13.9% | 0.83 | 0.43 | 1.5x | 24 | 27% |
| 볼린저 밴드 돌파 n=54, k=1.1 |
6.8% | -24.2% | 0.71 | 0.28 | 1.6x | 36 | 58% |
| MACD fast=23, slow=53, signal=16 |
5.3% | -17.3% | 0.58 | 0.31 | 1.4x | 57 | 51% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.9% | -21.6% | 0.51 | 0.23 | 1.4x | 78 | 62% |
| Buy and hold | 15.3% | -33.8% | 0.99 | 0.45 | 2.7x | 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 66-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 66-day average falls below the 218-day average