Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Delek Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Delek Group Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -99.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -20.7%, MDD -100.0%, Sharpe 2.14, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.6%, MDD -98.0%, exposure 29%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=5, threshold=-0.15 |
-20.7% | -100.0% | 2.14 | -0.21 | 0.0x | 227 | 97% |
| Donchian 채널 돌파 entryN=9, exitN=77 |
-24.8% | -100.0% | 2.10 | -0.25 | 0.0x | 61 | 86% |
| SMA 크로스오버 fast=38, slow=39 |
-11.5% | -100.0% | 2.08 | -0.11 | 0.1x | 467 | 68% |
| EMA 크로스오버 fast=53, slow=109 |
-93.5% | -100.0% | 1.60 | -0.94 | 0.0x | 74 | 51% |
| Supertrend period=8, mult=4.8 |
-99.4% | -100.0% | 1.36 | -0.99 | 0.0x | 153 | 56% |
| 볼린저 밴드 돌파 n=2, k=0.2 |
-99.7% | -100.0% | 1.35 | -1.00 | 0.0x | 2432 | 50% |
| MACD fast=16, slow=46, signal=18 |
-99.7% | -100.0% | 1.25 | -1.00 | 0.0x | 284 | 51% |
| Parabolic SAR step=0.075, maxStep=0.5 |
-100.0% | -100.0% | 0.93 | -1.00 | 0.0x | 812 | 44% |
| ADX / DI 방향성 period=39, threshold=11 |
0.6% | -98.0% | 0.46 | 0.01 | 1.1x | 93 | 29% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=5, mult=3.4 |
-99.5% | -100.0% | -0.50 | -0.99 | 0.0x | 156 | 16% |
| Buy and hold | 4.6% | -99.5% | 2.18 | 0.05 | 3.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than -15%
- Sell — Sell when the 5-day return drops to -15% or below