Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Bank Leumi Le-Israel B.M. backtest
10 trend-following strategies were compared on the full daily history of Bank Leumi Le-Israel B.M.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.4%, MDD -25.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.5%, drawdown -66.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.4%, MDD -25.2%, Sharpe 0.93, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.2%, MDD -33.4%, exposure 60%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 11.4%, MDD -25.2%, exposure 39%).
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=55, threshold=11 |
11.4% | -25.2% | 0.93 | 0.45 | 7.5x | 36 | 39% |
| SMA 크로스오버 fast=50, slow=106 |
12.2% | -33.4% | 0.84 | 0.37 | 8.5x | 32 | 60% |
| EMA 크로스오버 fast=43, slow=118 |
11.3% | -32.2% | 0.79 | 0.35 | 7.3x | 22 | 65% |
| 볼린저 밴드 돌파 n=65, k=1.7 |
8.9% | -41.3% | 0.72 | 0.21 | 4.8x | 54 | 45% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=27, mult=2.2 |
8.6% | -39.0% | 0.68 | 0.22 | 4.6x | 56 | 48% |
| Donchian 채널 돌파 entryN=81, exitN=64 |
9.2% | -47.4% | 0.68 | 0.19 | 5.1x | 22 | 57% |
| Supertrend period=7, mult=5 |
9.2% | -36.6% | 0.68 | 0.25 | 5.1x | 40 | 54% |
| ROC 모멘텀 n=137, threshold=-0.04 |
8.3% | -43.6% | 0.59 | 0.19 | 4.4x | 104 | 71% |
| MACD fast=30, slow=88, signal=40 |
4.4% | -52.1% | 0.37 | 0.08 | 2.2x | 87 | 52% |
| Parabolic SAR step=0.01, maxStep=0.4 |
-2.0% | -69.1% | -0.02 | -0.03 | 0.7x | 204 | 57% |
| Buy and hold | 7.5% | -66.8% | 0.45 | 0.11 | 3.9x | 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, 55-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)