Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ituran Location and Control Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ituran Location and Control Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.7%, MDD -37.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.5%, drawdown -69.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -39.6%, Sharpe 0.48, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 6.7%, MDD -37.7%, exposure 41%).
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=53, slow=116 |
8.6% | -39.6% | 0.48 | 0.22 | 5.6x | 38 | 56% |
| 볼린저 밴드 돌파 n=70, k=1.5 |
6.7% | -37.7% | 0.43 | 0.18 | 3.9x | 74 | 41% |
| EMA 크로스오버 fast=26, slow=119 |
7.4% | -45.3% | 0.43 | 0.16 | 4.4x | 48 | 56% |
| Supertrend period=14, mult=5 |
7.3% | -61.7% | 0.42 | 0.12 | 4.3x | 46 | 53% |
| Donchian 채널 돌파 entryN=89, exitN=60 |
6.4% | -37.4% | 0.40 | 0.17 | 3.6x | 30 | 48% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=3.6 |
4.7% | -37.5% | 0.36 | 0.13 | 2.6x | 46 | 29% |
| ROC 모멘텀 n=83, threshold=0 |
5.8% | -48.4% | 0.36 | 0.12 | 3.2x | 200 | 56% |
| ADX / DI 방향성 period=24, threshold=19 |
2.3% | -36.1% | 0.23 | 0.06 | 1.6x | 106 | 22% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.8% | -64.1% | 0.04 | -0.03 | 0.7x | 168 | 52% |
| MACD fast=13, slow=53, signal=16 |
-5.9% | -81.1% | -0.15 | -0.07 | 0.3x | 292 | 51% |
| Buy and hold | 6.5% | -69.4% | 0.36 | 0.09 | 3.8x | 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 53-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 53-day average falls below the 116-day average