Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Clal Insurance Enterprises Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Clal Insurance Enterprises Holdings Limited. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.8%, MDD -41.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.3%, drawdown -86.3%).
Sharpe leader (same as main): Supertrend — CAGR 13.7%, MDD -42.9%, Sharpe 0.73, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 11.8%, MDD -41.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=5 |
13.7% | -42.9% | 0.73 | 0.32 | 21.6x | 52 | 53% |
| EMA 크로스오버 fast=32, slow=41 |
11.8% | -41.3% | 0.66 | 0.28 | 14.4x | 68 | 54% |
| SMA 크로스오버 fast=30, slow=51 |
10.5% | -47.3% | 0.60 | 0.22 | 10.9x | 94 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=1.9 |
9.2% | -45.4% | 0.59 | 0.20 | 8.2x | 94 | 39% |
| Donchian 채널 돌파 entryN=40, exitN=60 |
10.5% | -42.3% | 0.59 | 0.25 | 11.0x | 45 | 59% |
| 볼린저 밴드 돌파 n=20, k=2.9 |
5.0% | -30.8% | 0.58 | 0.16 | 3.2x | 32 | 8% |
| ROC 모멘텀 n=61, threshold=0.03 |
8.1% | -53.9% | 0.51 | 0.15 | 6.5x | 228 | 48% |
| MACD fast=19, slow=44, signal=20 |
8.6% | -49.8% | 0.51 | 0.17 | 7.2x | 175 | 47% |
| ADX / DI 방향성 period=23, threshold=16 |
6.0% | -59.6% | 0.42 | 0.10 | 4.0x | 160 | 39% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.2% | -66.5% | 0.19 | 0.02 | 1.3x | 342 | 51% |
| Buy and hold | 6.3% | -86.3% | 0.39 | 0.07 | 4.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)