Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Tachlit SAL (40) TA 35 Units backtest
10 trend-following strategies were compared on the full daily history of Tachlit SAL (40) TA 35 Units. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.6%, MDD -14.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.5%, drawdown -32.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -14.9%, Sharpe 1.30, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 14.6%, MDD -14.9%, exposure 65%).
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=21, slow=243 |
14.6% | -14.9% | 1.30 | 0.98 | 2.6x | 7 | 65% |
| ROC 모멘텀 n=137, threshold=0.02 |
14.6% | -18.8% | 1.30 | 0.78 | 2.6x | 22 | 64% |
| EMA 크로스오버 fast=30, slow=191 |
13.8% | -22.4% | 1.20 | 0.62 | 2.5x | 7 | 68% |
| Donchian 채널 돌파 entryN=113, exitN=69 |
12.9% | -22.6% | 1.19 | 0.57 | 2.3x | 5 | 60% |
| Supertrend period=8, mult=5 |
12.2% | -19.8% | 1.17 | 0.62 | 2.3x | 16 | 64% |
| 볼린저 밴드 돌파 n=54, k=2 |
8.0% | -20.7% | 0.91 | 0.38 | 1.7x | 22 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=1.8 |
8.5% | -24.6% | 0.87 | 0.34 | 1.8x | 32 | 57% |
| ADX / DI 방향성 period=32, threshold=16 |
5.8% | -13.8% | 0.81 | 0.42 | 1.5x | 26 | 29% |
| Parabolic SAR step=0.01, maxStep=0.08 |
5.4% | -18.4% | 0.57 | 0.30 | 1.5x | 68 | 63% |
| MACD fast=23, slow=41, signal=18 |
3.9% | -26.4% | 0.45 | 0.15 | 1.3x | 59 | 52% |
| Buy and hold | 14.5% | -32.9% | 0.97 | 0.44 | 2.6x | 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 21-day average price crosses above the 243-day average
- Sell — Sell (to cash) when the 21-day average falls below the 243-day average