Trend-Following Backtester · Guide · backtest 한국어
equity · US
TAT Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of TAT Technologies Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 2.3%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -94.2%, Sharpe 0.45, 52% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=75, slow=167 |
9.7% | -94.2% | 0.45 | 0.10 | 38.3x | 46 | 52% |
| Donchian 채널 돌파 entryN=142, exitN=70 |
9.2% | -81.1% | 0.41 | 0.11 | 32.0x | 36 | 37% |
| EMA 크로스오버 fast=90, slow=219 |
7.8% | -89.4% | 0.41 | 0.09 | 19.6x | 28 | 48% |
| ADX / DI 방향성 period=39, threshold=10 |
1.8% | -94.8% | 0.33 | 0.02 | 2.0x | 262 | 43% |
| Supertrend period=10, mult=4.3 |
2.1% | -93.3% | 0.30 | 0.02 | 2.3x | 144 | 51% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=10, mult=1.9 |
1.9% | -88.8% | 0.24 | 0.02 | 2.1x | 166 | 32% |
| ROC 모멘텀 n=145, threshold=0.12 |
-0.9% | -96.2% | 0.22 | -0.01 | 0.7x | 326 | 38% |
| 볼린저 밴드 돌파 n=25, k=2.8 |
0.4% | -87.9% | 0.21 | 0.01 | 1.2x | 158 | 17% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-4.1% | -95.9% | 0.18 | -0.04 | 0.2x | 408 | 47% |
| MACD fast=22, slow=32, signal=30 |
-10.3% | -99.4% | 0.10 | -0.10 | 0.0x | 400 | 51% |
| Buy and hold | 2.3% | -97.3% | 0.43 | 0.02 | 2.4x | 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 75-day average price crosses above the 167-day average
- Sell — Sell (to cash) when the 75-day average falls below the 167-day average