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 2.6%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -93.6%, 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=71, slow=205 |
9.5% | -93.6% | 0.45 | 0.10 | 34.9x | 42 | 52% |
| Donchian 채널 돌파 entryN=62, exitN=71 |
7.4% | -86.1% | 0.39 | 0.09 | 16.3x | 59 | 49% |
| EMA 크로스오버 fast=57, slow=181 |
3.4% | -95.3% | 0.32 | 0.04 | 3.7x | 47 | 49% |
| Supertrend period=12, mult=4.2 |
1.5% | -91.7% | 0.28 | 0.02 | 1.8x | 145 | 50% |
| ROC 모멘텀 n=134, threshold=0.11 |
1.7% | -97.5% | 0.26 | 0.02 | 1.9x | 346 | 39% |
| ADX / DI 방향성 period=21, threshold=7 |
-3.4% | -96.7% | 0.25 | -0.03 | 0.3x | 570 | 52% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=9, mult=2.1 |
1.0% | -83.2% | 0.22 | 0.01 | 1.5x | 152 | 31% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-3.9% | -95.9% | 0.19 | -0.04 | 0.2x | 406 | 47% |
| 볼린저 밴드 돌파 n=24, k=2.7 |
-1.6% | -90.5% | 0.16 | -0.02 | 0.5x | 180 | 18% |
| MACD fast=23, slow=41, signal=23 |
-10.9% | -99.6% | 0.08 | -0.11 | 0.0x | 396 | 51% |
| Buy and hold | 2.6% | -97.3% | 0.43 | 0.03 | 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 71-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 71-day average falls below the 205-day average