Trend-Following Backtester · Guide · backtest 한국어
etf · IL
Tachlit SAL (40) TA 90 IL backtest
10 trend-following strategies were compared on the full daily history of Tachlit SAL (40) TA 90 IL. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.6%, MDD -21.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.5%, drawdown -38.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.0%, MDD -25.4%, Sharpe 1.19, 90% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 13.1%p (CAGR 14.6%, MDD -21.4%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=5, exitN=53 |
20.0% | -25.4% | 1.19 | 0.79 | 3.7x | 21 | 90% |
| SMA 크로스오버 fast=53, slow=117 |
16.0% | -25.0% | 1.14 | 0.64 | 2.9x | 10 | 62% |
| EMA 크로스오버 fast=54, slow=206 |
14.6% | -21.4% | 1.06 | 0.68 | 2.6x | 3 | 68% |
| ROC 모멘텀 n=133, threshold=0.13 |
11.0% | -16.8% | 1.00 | 0.66 | 2.1x | 28 | 44% |
| Supertrend period=15, mult=4.8 |
11.3% | -22.8% | 0.86 | 0.49 | 2.1x | 22 | 65% |
| 볼린저 밴드 돌파 n=40, k=2.6 |
5.8% | -12.0% | 0.83 | 0.49 | 1.5x | 12 | 25% |
| ADX / DI 방향성 period=22, threshold=36 |
2.1% | -4.8% | 0.73 | 0.43 | 1.2x | 4 | 4% |
| MACD fast=30, slow=50, signal=35 |
7.9% | -17.6% | 0.71 | 0.45 | 1.7x | 31 | 50% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=8, mult=3.3 |
5.8% | -17.9% | 0.68 | 0.33 | 1.5x | 22 | 37% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.0% | -41.9% | 0.38 | 0.10 | 1.3x | 82 | 62% |
| Buy and hold | 15.5% | -38.5% | 0.87 | 0.40 | 2.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 5 days
- Sell — Sell when price breaks below the lowest low of the last 53 days