Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Harel Sal TA 90 ETF backtest
10 trend-following strategies were compared on the full daily history of Harel Sal TA 90 ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.8%, MDD -24.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.9%, drawdown -38.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.9%, MDD -34.1%, Sharpe 1.24, 93% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 4.3%p (CAGR 13.8%, MDD -24.8%, exposure 66%).
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=4, exitN=59 |
20.9% | -34.1% | 1.24 | 0.61 | 4.2x | 21 | 93% |
| SMA 크로스오버 fast=16, slow=26 |
13.8% | -24.8% | 1.05 | 0.55 | 2.7x | 56 | 66% |
| Supertrend period=13, mult=4.3 |
13.0% | -29.1% | 1.01 | 0.45 | 2.5x | 28 | 66% |
| ADX / DI 방향성 period=32, threshold=17 |
8.5% | -14.4% | 1.01 | 0.59 | 1.9x | 24 | 34% |
| ROC 모멘텀 n=87, threshold=0.02 |
12.5% | -23.2% | 0.99 | 0.54 | 2.4x | 30 | 61% |
| EMA 크로스오버 fast=14, slow=39 |
12.9% | -25.5% | 0.95 | 0.51 | 2.5x | 24 | 72% |
| 볼린저 밴드 돌파 n=40, k=2.6 |
7.1% | -11.9% | 0.91 | 0.59 | 1.7x | 16 | 33% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=14, mult=3.6 |
7.3% | -18.0% | 0.83 | 0.41 | 1.7x | 22 | 41% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.0% | -34.8% | 0.60 | 0.20 | 1.7x | 60 | 64% |
| MACD fast=18, slow=55, signal=19 |
5.3% | -26.9% | 0.52 | 0.20 | 1.5x | 60 | 50% |
| Buy and hold | 17.9% | -38.4% | 1.01 | 0.47 | 3.5x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 59 days