Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Azrieli Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Azrieli Group Ltd.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.5%, MDD -14.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.2%, drawdown -99.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -23.6%, Sharpe 0.66, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 27.5%p higher than buy and hold, while drawdown improves by 75.7%p (CAGR 2.5%, MDD -14.9%, exposure 14%).
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=74, exitN=74 |
9.3% | -23.6% | 0.66 | 0.39 | 4.1x | 14 | 58% |
| Supertrend period=9, mult=4.8 |
8.9% | -25.4% | 0.65 | 0.35 | 3.8x | 30 | 50% |
| SMA 크로스오버 fast=44, slow=81 |
9.2% | -26.9% | 0.64 | 0.34 | 4.0x | 38 | 60% |
| EMA 크로스오버 fast=11, slow=107 |
7.1% | -27.2% | 0.52 | 0.26 | 2.9x | 34 | 57% |
| ROC 모멘텀 n=160, threshold=-0.08 |
7.0% | -39.8% | 0.48 | 0.18 | 2.9x | 41 | 73% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
2.5% | -14.9% | 0.36 | 0.17 | 1.5x | 20 | 14% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=2.7 |
2.8% | -26.1% | 0.35 | 0.11 | 1.6x | 44 | 22% |
| Parabolic SAR step=0.01, maxStep=0.34 |
1.9% | -45.6% | 0.22 | 0.04 | 1.4x | 167 | 52% |
| ADX / DI 방향성 period=13, threshold=24 |
1.1% | -32.9% | 0.18 | 0.03 | 1.2x | 76 | 20% |
| MACD fast=22, slow=28, signal=24 |
-0.8% | -53.9% | 0.05 | -0.01 | 0.9x | 123 | 50% |
| Buy and hold | -18.2% | -99.3% | 0.20 | -0.18 | 0.0x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 74 days