Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Harel Sal (4D) S&P 500 backtest
10 trend-following strategies were compared on the full daily history of Harel Sal (4D) S&P 500. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.5%, MDD -9.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.2%, drawdown -28.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.5%, MDD -9.8%, Sharpe 1.26, 66% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.0%, MDD -15.1%, exposure 90%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 11.5%, MDD -9.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=36, slow=140 |
11.5% | -9.8% | 1.26 | 1.17 | 2.1x | 7 | 66% |
| Donchian 채널 돌파 entryN=13, exitN=65 |
13.0% | -15.1% | 1.14 | 0.86 | 2.3x | 11 | 90% |
| ROC 모멘텀 Hold-like · Exposure 97% n=5, threshold=-0.04 |
12.6% | -26.0% | 1.04 | 0.48 | 2.3x | 29 | 97% |
| EMA 크로스오버 fast=37, slow=127 |
9.8% | -15.4% | 1.03 | 0.64 | 1.9x | 7 | 70% |
| 볼린저 밴드 돌파 n=49, k=2.8 |
6.0% | -5.8% | 0.99 | 1.03 | 1.5x | 10 | 35% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=19, mult=4 |
7.4% | -10.5% | 0.95 | 0.70 | 1.6x | 11 | 51% |
| Supertrend period=12, mult=5 |
8.0% | -19.1% | 0.86 | 0.42 | 1.7x | 17 | 75% |
| MACD fast=28, slow=55, signal=19 |
4.6% | -27.1% | 0.60 | 0.17 | 1.4x | 39 | 49% |
| ADX / DI 방향성 period=47, threshold=13 |
2.5% | -10.2% | 0.50 | 0.25 | 1.2x | 8 | 22% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-3.1% | -31.9% | -0.28 | -0.10 | 0.8x | 124 | 62% |
| Buy and hold | 13.2% | -28.7% | 1.00 | 0.46 | 2.4x | 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 36-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 36-day average falls below the 140-day average