Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Tel Aviv Stock Exchange Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tel Aviv Stock Exchange Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 34.0%, MDD -30.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 44.0%, drawdown -42.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 44.4%, MDD -39.4%, Sharpe 1.42, 73% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 2.9%p (CAGR 34.0%, MDD -30.2%, exposure 59%).
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=68 |
44.4% | -39.4% | 1.42 | 1.13 | 13.1x | 20 | 73% |
| Supertrend period=22, mult=2.5 |
34.0% | -30.2% | 1.27 | 1.13 | 7.8x | 42 | 59% |
| Donchian 채널 돌파 entryN=138, exitN=36 |
29.8% | -29.4% | 1.24 | 1.01 | 6.2x | 8 | 50% |
| ADX / DI 방향성 period=44, threshold=12 |
30.5% | -37.9% | 1.21 | 0.81 | 6.5x | 24 | 57% |
| 볼린저 밴드 돌파 n=61, k=2.5 |
24.1% | -31.5% | 1.18 | 0.77 | 4.5x | 12 | 41% |
| Parabolic SAR step=0.01, maxStep=0.14 |
29.1% | -29.5% | 1.15 | 0.99 | 6.0x | 74 | 60% |
| EMA 크로스오버 fast=11, slow=129 |
30.0% | -50.0% | 1.10 | 0.60 | 6.3x | 14 | 71% |
| ROC 모멘텀 n=128, threshold=0.1 |
28.5% | -52.9% | 1.09 | 0.54 | 5.8x | 36 | 63% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=31, mult=4 |
25.0% | -41.1% | 1.08 | 0.61 | 4.8x | 12 | 54% |
| MACD fast=23, slow=58, signal=17 |
15.3% | -30.4% | 0.74 | 0.50 | 2.7x | 56 | 50% |
| Buy and hold | 44.0% | -42.4% | 1.26 | 1.04 | 12.8x | 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 68-day average
- Sell — Sell (to cash) when the 52-day average falls below the 68-day average