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 35.5%, MDD -30.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 45.8%, drawdown -42.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 49.5%, MDD -34.7%, Sharpe 1.57, 70% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 7.7%p (CAGR 35.5%, MDD -30.2%, exposure 61%).
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=56, slow=69 |
49.5% | -34.7% | 1.57 | 1.43 | 17.9x | 26 | 70% |
| ROC 모멘텀 n=68, threshold=0.12 |
34.2% | -26.2% | 1.37 | 1.30 | 8.2x | 56 | 52% |
| Supertrend period=19, mult=2.5 |
35.5% | -30.2% | 1.29 | 1.18 | 8.8x | 43 | 61% |
| Donchian 채널 돌파 entryN=17, exitN=37 |
34.8% | -45.3% | 1.20 | 0.77 | 8.5x | 17 | 76% |
| ADX / DI 방향성 period=48, threshold=12 |
28.2% | -39.4% | 1.15 | 0.72 | 5.9x | 22 | 54% |
| EMA 크로스오버 fast=12, slow=24 |
30.6% | -39.2% | 1.13 | 0.78 | 6.8x | 35 | 66% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
17.2% | -26.9% | 1.08 | 0.64 | 3.1x | 7 | 24% |
| Keltner 채널 돌파 emaPeriod=96, atrPeriod=29, mult=2 |
27.4% | -37.9% | 1.08 | 0.72 | 5.7x | 19 | 61% |
| Parabolic SAR step=0.01, maxStep=0.14 |
26.7% | -29.5% | 1.07 | 0.91 | 5.5x | 77 | 60% |
| MACD fast=16, slow=58, signal=21 |
18.2% | -32.1% | 0.83 | 0.57 | 3.3x | 59 | 50% |
| Buy and hold | 45.8% | -42.4% | 1.28 | 1.08 | 14.9x | 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 56-day average price crosses above the 69-day average
- Sell — Sell (to cash) when the 56-day average falls below the 69-day average