Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Tachlit SAL (40) TA 125 IL backtest
10 trend-following strategies were compared on the full daily history of Tachlit SAL (40) TA 125 IL. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.9%, MDD -15.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.5%, drawdown -33.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.9%, MDD -15.0%, Sharpe 1.40, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 15.9%, MDD -15.0%, 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=66, slow=218 |
15.9% | -15.0% | 1.40 | 1.06 | 2.8x | 3 | 59% |
| ROC 모멘텀 n=124, threshold=-0.02 |
14.6% | -29.7% | 1.20 | 0.49 | 2.6x | 27 | 69% |
| EMA 크로스오버 fast=57, slow=177 |
14.2% | -21.8% | 1.19 | 0.65 | 2.5x | 5 | 67% |
| Donchian 채널 돌파 entryN=87, exitN=62 |
11.7% | -23.6% | 1.07 | 0.49 | 2.2x | 7 | 60% |
| Supertrend period=10, mult=5 |
10.4% | -22.5% | 1.01 | 0.46 | 2.0x | 18 | 60% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=3.3 |
8.0% | -22.2% | 0.92 | 0.36 | 1.7x | 20 | 45% |
| ADX / DI 방향성 period=25, threshold=19 |
6.0% | -13.9% | 0.83 | 0.43 | 1.5x | 24 | 28% |
| 볼린저 밴드 돌파 n=54, k=1.1 |
6.9% | -24.2% | 0.71 | 0.29 | 1.6x | 36 | 59% |
| MACD fast=23, slow=53, signal=16 |
5.7% | -17.3% | 0.63 | 0.33 | 1.5x | 55 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
5.0% | -21.6% | 0.51 | 0.23 | 1.4x | 78 | 63% |
| Buy and hold | 15.5% | -33.8% | 1.00 | 0.46 | 2.7x | 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 66-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 66-day average falls below the 218-day average