Trend-Following Backtester · Guide · backtest 한국어
etf · IL
MTF SAL (4A) TA-35 backtest
10 trend-following strategies were compared on the full daily history of MTF SAL (4A) TA-35. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.6%, MDD -15.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.7%, drawdown -31.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -15.2%, Sharpe 1.41, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 16.6%, MDD -15.2%, exposure 64%).
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=96, slow=162 |
16.6% | -15.2% | 1.41 | 1.09 | 3.0x | 6 | 64% |
| ROC 모멘텀 n=142, threshold=-0.01 |
14.4% | -22.8% | 1.23 | 0.63 | 2.6x | 21 | 69% |
| EMA 크로스오버 fast=40, slow=202 |
14.1% | -20.6% | 1.21 | 0.68 | 2.6x | 5 | 69% |
| Donchian 채널 돌파 entryN=114, exitN=70 |
13.0% | -22.2% | 1.20 | 0.59 | 2.4x | 5 | 60% |
| ADX / DI 방향성 period=32, threshold=22 |
5.6% | -6.0% | 1.00 | 0.92 | 1.5x | 8 | 17% |
| 볼린저 밴드 돌파 n=58, k=3.1 |
6.5% | -14.9% | 1.00 | 0.44 | 1.6x | 6 | 21% |
| Supertrend period=11, mult=4.7 |
9.2% | -29.2% | 0.91 | 0.32 | 1.9x | 24 | 57% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=14, mult=3.3 |
6.6% | -23.5% | 0.79 | 0.28 | 1.6x | 24 | 44% |
| Parabolic SAR step=0.01, maxStep=0.06 |
6.0% | -18.9% | 0.62 | 0.32 | 1.5x | 61 | 63% |
| MACD fast=17, slow=46, signal=20 |
4.8% | -22.0% | 0.53 | 0.22 | 1.4x | 61 | 52% |
| Buy and hold | 14.7% | -31.8% | 0.99 | 0.46 | 2.7x | 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 96-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 96-day average falls below the 162-day average