Trend-Following Backtester · Guide · backtest 한국어
equity · IL
First International Bank of Israel Ltd backtest
10 trend-following strategies were compared on the full daily history of First International Bank of Israel Ltd. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -31.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.2%, drawdown -74.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -35.8%, Sharpe 0.83, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 12.0%, MDD -31.0%, exposure 49%).
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=57, slow=171 |
13.8% | -35.8% | 0.83 | 0.39 | 22.3x | 20 | 63% |
| Donchian 채널 돌파 entryN=114, exitN=39 |
12.0% | -31.0% | 0.81 | 0.39 | 15.0x | 26 | 49% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=12, mult=3.5 |
11.1% | -29.6% | 0.80 | 0.37 | 12.4x | 38 | 39% |
| EMA 크로스오버 fast=49, slow=171 |
11.6% | -33.7% | 0.71 | 0.35 | 14.0x | 22 | 66% |
| 볼린저 밴드 돌파 n=75, k=2.1 |
8.7% | -34.1% | 0.65 | 0.25 | 7.4x | 54 | 40% |
| Supertrend period=15, mult=5 |
9.1% | -62.0% | 0.58 | 0.15 | 8.0x | 56 | 62% |
| ROC 모멘텀 n=130, threshold=-0.01 |
8.5% | -47.2% | 0.56 | 0.18 | 7.1x | 150 | 66% |
| ADX / DI 방향성 period=36, threshold=14 |
3.3% | -72.7% | 0.29 | 0.05 | 2.2x | 78 | 34% |
| MACD fast=35, slow=51, signal=19 |
0.8% | -72.7% | 0.15 | 0.01 | 1.2x | 169 | 48% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-3.2% | -87.1% | -0.08 | -0.04 | 0.5x | 359 | 53% |
| Buy and hold | 12.2% | -74.6% | 0.61 | 0.16 | 15.9x | 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 57-day average price crosses above the 171-day average
- Sell — Sell (to cash) when the 57-day average falls below the 171-day average