Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Shufersal Ltd Class B backtest
10 trend-following strategies were compared on the full daily history of Shufersal Ltd Class B. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.7%, MDD -22.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.2%, drawdown -68.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -32.3%, Sharpe 0.79, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 10.7%, MDD -22.1%, exposure 62%).
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=31, slow=168 |
11.4% | -32.3% | 0.79 | 0.35 | 7.5x | 19 | 54% |
| EMA 크로스오버 fast=30, slow=183 |
10.7% | -22.1% | 0.74 | 0.49 | 6.6x | 11 | 62% |
| Donchian 채널 돌파 entryN=79, exitN=73 |
9.5% | -27.5% | 0.69 | 0.34 | 5.4x | 17 | 54% |
| ROC 모멘텀 n=124, threshold=0.01 |
8.7% | -37.5% | 0.63 | 0.23 | 4.7x | 95 | 53% |
| Supertrend period=28, mult=5 |
7.6% | -40.3% | 0.54 | 0.19 | 3.9x | 32 | 59% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=3.9 |
4.2% | -32.7% | 0.47 | 0.13 | 2.2x | 24 | 22% |
| ADX / DI 방향성 period=39, threshold=21 |
2.6% | -16.0% | 0.44 | 0.17 | 1.6x | 16 | 10% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
2.9% | -37.3% | 0.32 | 0.08 | 1.7x | 34 | 25% |
| MACD fast=28, slow=57, signal=23 |
-2.5% | -58.8% | -0.06 | -0.04 | 0.6x | 133 | 47% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-4.6% | -78.3% | -0.19 | -0.06 | 0.4x | 131 | 51% |
| Buy and hold | 5.2% | -68.9% | 0.36 | 0.07 | 2.5x | 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 31-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 31-day average falls below the 168-day average