Trend-Following Backtester · Guide · backtest 한국어
etf · IL
MTF SAL (4A) TA-125 IL backtest
10 trend-following strategies were compared on the full daily history of MTF SAL (4A) TA-125 IL. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.3%, MDD -14.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.1%, drawdown -33.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.2%, MDD -28.7%, Sharpe 1.25, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.7%, MDD -25.4%, exposure 93%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 4.7%p (CAGR 12.3%, MDD -14.1%, exposure 48%).
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=52, slow=119 |
15.2% | -28.7% | 1.25 | 0.53 | 2.7x | 8 | 65% |
| ROC 모멘텀 n=132, threshold=0.11 |
12.3% | -14.1% | 1.22 | 0.87 | 2.3x | 26 | 48% |
| EMA 크로스오버 fast=59, slow=172 |
13.9% | -21.6% | 1.16 | 0.64 | 2.5x | 5 | 68% |
| Donchian 채널 돌파 entryN=7, exitN=60 |
15.7% | -25.4% | 1.12 | 0.62 | 2.8x | 15 | 93% |
| ADX / DI 방향성 period=26, threshold=17 |
7.7% | -12.0% | 0.96 | 0.65 | 1.7x | 28 | 34% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=3.7 |
6.9% | -24.6% | 0.79 | 0.28 | 1.6x | 18 | 43% |
| Supertrend period=28, mult=4.4 |
8.9% | -25.9% | 0.79 | 0.35 | 1.8x | 28 | 66% |
| 볼린저 밴드 돌파 n=48, k=2 |
5.6% | -17.8% | 0.66 | 0.31 | 1.5x | 28 | 43% |
| MACD fast=18, slow=59, signal=19 |
5.7% | -16.3% | 0.62 | 0.35 | 1.5x | 55 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.4% | -31.4% | 0.53 | 0.17 | 1.5x | 53 | 66% |
| Buy and hold | 15.1% | -33.4% | 0.99 | 0.45 | 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 52-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 52-day average falls below the 119-day average