Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Tachlit SAL (00) Tel Bond-Shekel backtest
10 trend-following strategies were compared on the full daily history of Tachlit SAL (00) Tel Bond-Shekel. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.9%, MDD -4.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.3%, drawdown -17.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.9%, MDD -4.0%, Sharpe 1.38, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 13.2%p (CAGR 2.9%, MDD -4.0%, exposure 67%).
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=28, slow=156 |
2.9% | -4.0% | 1.38 | 0.71 | 1.2x | 3 | 67% |
| Donchian 채널 돌파 entryN=85, exitN=67 |
2.6% | -5.8% | 1.25 | 0.45 | 1.2x | 3 | 66% |
| EMA 크로스오버 fast=18, slow=116 |
2.5% | -5.0% | 1.24 | 0.51 | 1.2x | 5 | 67% |
| ROC 모멘텀 n=113, threshold=0 |
2.1% | -8.7% | 0.99 | 0.24 | 1.2x | 13 | 66% |
| Supertrend period=29, mult=4.8 |
1.9% | -8.3% | 0.68 | 0.23 | 1.1x | 23 | 81% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
0.6% | -2.0% | 0.60 | 0.28 | 1.0x | 6 | 18% |
| ADX / DI 방향성 period=31, threshold=33 |
0.1% | -0.8% | 0.31 | 0.17 | 1.0x | 2 | 6% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=30, mult=3.6 |
0.3% | -6.1% | 0.18 | 0.05 | 1.0x | 19 | 58% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.5% | -14.5% | -0.60 | -0.11 | 0.9x | 50 | 69% |
| MACD fast=17, slow=49, signal=19 |
-2.0% | -16.0% | -0.86 | -0.12 | 0.9x | 50 | 45% |
| Buy and hold | 2.3% | -17.2% | 0.49 | 0.13 | 1.2x | 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 28-day average price crosses above the 156-day average
- Sell — Sell (to cash) when the 28-day average falls below the 156-day average