Trend-Following Backtester · Guide · backtest 한국어
etf · IL
I.B.I. SAL (00) Tel-Bond 60 CPI - LINKED IL backtest
10 trend-following strategies were compared on the full daily history of I.B.I. SAL (00) Tel-Bond 60 CPI - LINKED IL. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.5%, MDD -6.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.4%, drawdown -12.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -6.3%, Sharpe 1.47, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 6.5%p (CAGR 3.5%, MDD -6.3%, exposure 68%).
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=38, slow=154 |
3.5% | -6.3% | 1.47 | 0.55 | 1.3x | 3 | 68% |
| EMA 크로스오버 fast=54, slow=109 |
2.6% | -7.5% | 1.13 | 0.35 | 1.2x | 5 | 65% |
| Donchian 채널 돌파 entryN=98, exitN=53 |
2.2% | -5.4% | 1.11 | 0.41 | 1.2x | 7 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=3.7 |
1.3% | -4.0% | 0.77 | 0.33 | 1.1x | 13 | 48% |
| 볼린저 밴드 돌파 n=53, k=2.4 |
1.1% | -5.1% | 0.72 | 0.21 | 1.1x | 11 | 37% |
| Supertrend period=18, mult=5 |
1.7% | -14.2% | 0.60 | 0.12 | 1.1x | 17 | 83% |
| ROC 모멘텀 n=46, threshold=-0.01 |
1.5% | -11.3% | 0.57 | 0.13 | 1.1x | 21 | 81% |
| ADX / DI 방향성 period=24, threshold=26 |
-0.2% | -1.5% | -0.40 | -0.10 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.3% | -17.6% | -0.87 | -0.13 | 0.8x | 56 | 65% |
| MACD fast=17, slow=39, signal=17 |
-2.5% | -19.0% | -1.00 | -0.13 | 0.8x | 62 | 44% |
| Buy and hold | 2.4% | -12.8% | 0.62 | 0.19 | 1.2x | 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 38-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 38-day average falls below the 154-day average