Trend-Following Backtester · Guide · backtest 한국어
etf · IL
MTF SAL (00) Tel-Bond 60 CPI-Linked IL backtest
10 trend-following strategies were compared on the full daily history of MTF SAL (00) Tel-Bond 60 CPI-Linked IL. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.8%, MDD -5.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.4%, drawdown -12.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -5.9%, Sharpe 1.49, 68% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 7.0%p (CAGR 2.8%, MDD -5.5%, exposure 66%).
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=47, slow=150 |
3.5% | -5.9% | 1.49 | 0.60 | 1.3x | 3 | 68% |
| Donchian 채널 돌파 entryN=69, exitN=71 |
2.8% | -5.5% | 1.32 | 0.52 | 1.2x | 5 | 66% |
| 볼린저 밴드 돌파 n=67, k=2.4 |
1.8% | -2.7% | 1.24 | 0.65 | 1.1x | 7 | 39% |
| ROC 모멘텀 n=121, threshold=-0.01 |
3.0% | -9.0% | 1.22 | 0.33 | 1.2x | 7 | 70% |
| EMA 크로스오버 fast=30, slow=66 |
2.6% | -6.1% | 1.14 | 0.43 | 1.2x | 7 | 70% |
| Keltner 채널 돌파 emaPeriod=82, atrPeriod=13, mult=2.4 |
2.0% | -3.5% | 0.96 | 0.56 | 1.1x | 15 | 62% |
| Supertrend period=8, mult=4.9 |
0.1% | -12.8% | 0.04 | 0.00 | 1.0x | 29 | 72% |
| MACD fast=28, slow=82, signal=29 |
-0.0% | -8.1% | 0.00 | -0.00 | 1.0x | 30 | 51% |
| ADX / DI 방향성 period=39, threshold=21 |
-0.1% | -1.8% | -0.18 | -0.08 | 1.0x | 4 | 7% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.0% | -14.2% | -0.75 | -0.14 | 0.9x | 52 | 64% |
| Buy and hold | 2.4% | -12.9% | 0.61 | 0.19 | 1.2x | 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 47-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 47-day average falls below the 150-day average