Trend-Following Backtester · Guide · backtest 한국어
etf · IL
MTF SAL (4A) TA-90 IL backtest
10 trend-following strategies were compared on the full daily history of MTF SAL (4A) TA-90 IL. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.3%, MDD -21.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.2%, drawdown -38.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.3%, MDD -21.9%, Sharpe 1.10, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.5%, MDD -33.4%, exposure 92%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 16.6%p (CAGR 15.3%, MDD -21.9%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=215 |
15.3% | -21.9% | 1.10 | 0.70 | 2.7x | 3 | 67% |
| Donchian 채널 돌파 entryN=6, exitN=74 |
18.5% | -33.4% | 1.09 | 0.55 | 3.3x | 17 | 92% |
| SMA 크로스오버 fast=53, slow=183 |
14.7% | -27.2% | 1.04 | 0.54 | 2.6x | 6 | 65% |
| ROC 모멘텀 n=134, threshold=0.11 |
11.7% | -20.7% | 1.02 | 0.57 | 2.2x | 32 | 47% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
6.2% | -13.6% | 0.84 | 0.46 | 1.5x | 10 | 26% |
| Supertrend period=18, mult=4.8 |
10.8% | -22.0% | 0.83 | 0.49 | 2.1x | 24 | 62% |
| ADX / DI 방향성 period=19, threshold=37 |
2.4% | -3.7% | 0.82 | 0.65 | 1.2x | 4 | 6% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=4 |
6.0% | -14.1% | 0.74 | 0.43 | 1.5x | 16 | 33% |
| MACD fast=28, slow=49, signal=26 |
7.8% | -23.8% | 0.69 | 0.33 | 1.7x | 38 | 49% |
| Parabolic SAR step=0.01, maxStep=0.22 |
5.5% | -42.6% | 0.50 | 0.13 | 1.5x | 83 | 60% |
| Buy and hold | 16.2% | -38.4% | 0.90 | 0.42 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 215-day EMA
- Sell — Sell when the 52-day EMA falls below the 215-day EMA