Trend-Following Backtester · Guide · backtest 한국어
equity · IL
El Al Israel Airlines Ltd backtest
10 trend-following strategies were compared on the full daily history of El Al Israel Airlines Ltd. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -98.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -82.0%, MDD -100.0%, Sharpe 1.38, 82% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.2%, MDD -50.1%, exposure 6%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=78 |
-82.0% | -100.0% | 1.38 | -0.82 | 0.0x | 87 | 82% |
| SMA 크로스오버 fast=51, slow=82 |
-25.9% | -100.0% | 1.17 | -0.26 | 0.0x | 73 | 53% |
| EMA 크로스오버 fast=61, slow=120 |
-44.0% | -100.0% | 0.92 | -0.44 | 0.0x | 41 | 49% |
| MACD fast=71, slow=80, signal=39 |
-76.7% | -100.0% | 0.89 | -0.77 | 0.0x | 93 | 55% |
| ADX / DI 방향성 period=39, threshold=31 |
-3.1% | -94.5% | 0.89 | -0.03 | 0.5x | 2 | 10% |
| Supertrend period=7, mult=4.9 |
-95.4% | -100.0% | 0.58 | -0.95 | 0.0x | 117 | 60% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
2.2% | -50.1% | 0.25 | 0.04 | 1.7x | 14 | 6% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=22, mult=4 |
1.2% | -33.2% | 0.17 | 0.03 | 1.3x | 22 | 5% |
| ROC 모멘텀 n=72, threshold=0.1 |
-77.0% | -100.0% | 0.08 | -0.77 | 0.0x | 331 | 37% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-96.2% | -100.0% | -0.41 | -0.96 | 0.0x | 175 | 48% |
| Buy and hold | 4.6% | -98.5% | 1.95 | 0.05 | 2.8x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 78 days