Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Harel Sal (00) Tel Bond Shekel - 50 IL backtest
10 trend-following strategies were compared on the full daily history of Harel Sal (00) Tel Bond Shekel - 50 IL. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.2%, MDD -3.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.8%, drawdown -16.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.7%, MDD -4.2%, Sharpe 1.22, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 12.1%p (CAGR 2.2%, MDD -3.3%, exposure 58%).
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=27, slow=164 |
2.7% | -4.2% | 1.22 | 0.65 | 1.2x | 3 | 67% |
| EMA 크로스오버 fast=7, slow=215 |
2.3% | -4.8% | 1.16 | 0.48 | 1.2x | 5 | 64% |
| Donchian 채널 돌파 entryN=111, exitN=88 |
2.2% | -3.3% | 1.14 | 0.65 | 1.2x | 3 | 58% |
| ROC 모멘텀 n=115, threshold=-0.01 |
2.3% | -6.3% | 0.99 | 0.37 | 1.2x | 7 | 68% |
| 볼린저 밴드 돌파 n=55, k=2.7 |
1.0% | -2.5% | 0.81 | 0.39 | 1.1x | 4 | 18% |
| Supertrend period=31, mult=4.4 |
2.4% | -8.5% | 0.80 | 0.28 | 1.2x | 21 | 79% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.4 |
-0.0% | -8.1% | 0.01 | -0.00 | 1.0x | 30 | 64% |
| ADX / DI 방향성 period=22, threshold=36 |
-0.0% | -0.7% | -0.03 | -0.02 | 1.0x | 2 | 3% |
| MACD fast=23, slow=91, signal=24 |
-1.2% | -12.1% | -0.50 | -0.10 | 0.9x | 36 | 46% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.4% | -16.7% | -0.91 | -0.14 | 0.8x | 52 | 65% |
| Buy and hold | 1.8% | -16.2% | 0.40 | 0.11 | 1.1x | 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 27-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 27-day average falls below the 164-day average