Trend-Following Backtester · Guide · backtest 한국어
etf · IL
I.B.I. SAL (4A) Index Israel Banks IL backtest
10 trend-following strategies were compared on the full daily history of I.B.I. SAL (4A) Index Israel Banks IL. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.0%, MDD -21.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.4%, drawdown -39.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.0%, MDD -14.4%, Sharpe 1.26, 35% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.2%, MDD -22.0%, exposure 82%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.4%p lower than buy and hold, while drawdown improves by 24.9%p (CAGR 19.0%, MDD -21.9%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=41, threshold=14 |
13.0% | -14.4% | 1.26 | 0.90 | 2.3x | 16 | 35% |
| Supertrend period=22, mult=4.7 |
18.8% | -28.1% | 1.25 | 0.67 | 3.3x | 14 | 66% |
| ROC 모멘텀 n=135, threshold=-0.12 |
22.2% | -22.0% | 1.24 | 1.01 | 4.0x | 3 | 82% |
| Donchian 채널 돌파 entryN=80, exitN=45 |
18.2% | -24.7% | 1.23 | 0.74 | 3.2x | 6 | 61% |
| SMA 크로스오버 fast=37, slow=192 |
19.0% | -21.9% | 1.16 | 0.87 | 3.4x | 4 | 72% |
| EMA 크로스오버 fast=40, slow=143 |
18.3% | -25.2% | 1.12 | 0.72 | 3.2x | 4 | 72% |
| 볼린저 밴드 돌파 n=69, k=1.4 |
12.0% | -32.1% | 0.95 | 0.37 | 2.2x | 24 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=3.8 |
10.1% | -31.9% | 0.95 | 0.32 | 1.9x | 14 | 39% |
| Parabolic SAR step=0.03, maxStep=0.12 |
4.7% | -27.6% | 0.41 | 0.17 | 1.4x | 126 | 59% |
| MACD fast=23, slow=60, signal=14 |
1.2% | -44.5% | 0.18 | 0.03 | 1.1x | 65 | 51% |
| Buy and hold | 18.4% | -39.3% | 0.93 | 0.47 | 3.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 41-day) is ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)