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. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.2%, MDD -20.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.4%, drawdown -33.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -23.7%, Sharpe 1.24, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 9.7%p (CAGR 14.2%, MDD -20.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=7, slow=133 |
14.7% | -23.7% | 1.24 | 0.62 | 2.6x | 10 | 65% |
| EMA 크로스오버 fast=51, slow=208 |
14.2% | -20.4% | 1.18 | 0.70 | 2.5x | 5 | 67% |
| ROC 모멘텀 n=131, threshold=0 |
14.0% | -27.6% | 1.17 | 0.51 | 2.5x | 19 | 66% |
| Donchian 채널 돌파 entryN=105, exitN=70 |
11.5% | -22.9% | 1.06 | 0.50 | 2.1x | 7 | 58% |
| ADX / DI 방향성 period=26, threshold=16 |
7.9% | -12.2% | 0.96 | 0.65 | 1.7x | 34 | 37% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=3.8 |
7.2% | -24.1% | 0.82 | 0.30 | 1.6x | 18 | 44% |
| Supertrend period=24, mult=4.5 |
8.1% | -26.0% | 0.73 | 0.31 | 1.7x | 28 | 67% |
| 볼린저 밴드 돌파 n=54, k=2.1 |
5.8% | -19.4% | 0.69 | 0.30 | 1.5x | 24 | 43% |
| MACD fast=15, slow=42, signal=19 |
5.2% | -20.2% | 0.58 | 0.26 | 1.4x | 61 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
5.4% | -31.4% | 0.53 | 0.17 | 1.4x | 53 | 65% |
| Buy and hold | 15.4% | -33.4% | 1.00 | 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 7-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 7-day average falls below the 133-day average