Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Tachlit SAL (40) TA 90 IL backtest
10 trend-following strategies were compared on the full daily history of Tachlit SAL (40) TA 90 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 18.9%, MDD -19.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.5%, drawdown -38.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.9%, MDD -19.4%, Sharpe 1.32, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 18.9%, MDD -19.4%, exposure 66%).
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=112, slow=169 |
18.9% | -19.4% | 1.32 | 0.98 | 3.3x | 3 | 66% |
| EMA 크로스오버 fast=52, slow=216 |
16.3% | -21.0% | 1.17 | 0.78 | 2.9x | 3 | 66% |
| Donchian 채널 돌파 entryN=109, exitN=115 |
13.8% | -22.2% | 1.07 | 0.62 | 2.5x | 3 | 60% |
| ROC 모멘텀 n=126, threshold=-0.03 |
14.1% | -30.3% | 0.98 | 0.47 | 2.5x | 30 | 70% |
| Supertrend period=16, mult=4.9 |
12.1% | -21.6% | 0.90 | 0.56 | 2.2x | 20 | 67% |
| 볼린저 밴드 돌파 n=37, k=2.6 |
6.2% | -11.8% | 0.87 | 0.53 | 1.5x | 12 | 25% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=18, mult=3.2 |
5.2% | -17.9% | 0.63 | 0.29 | 1.4x | 22 | 36% |
| MACD fast=19, slow=48, signal=19 |
5.2% | -29.2% | 0.50 | 0.18 | 1.4x | 56 | 49% |
| ADX / DI 방향성 period=22, threshold=24 |
2.8% | -12.9% | 0.45 | 0.22 | 1.2x | 24 | 20% |
| Parabolic SAR step=0.005, maxStep=0.3 |
5.0% | -36.8% | 0.44 | 0.13 | 1.4x | 58 | 63% |
| Buy and hold | 16.5% | -38.5% | 0.92 | 0.43 | 2.9x | 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 112-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 112-day average falls below the 169-day average