Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kenon Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kenon Holdings Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.3%, MDD -49.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.5%, drawdown -75.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.5%, MDD -60.0%, Sharpe 0.70, 65% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 14.3%, MDD -49.8%, exposure 55%).
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=59, slow=180 |
20.5% | -60.0% | 0.70 | 0.34 | 8.6x | 11 | 65% |
| Donchian 채널 돌파 entryN=51, exitN=82 |
17.6% | -54.4% | 0.64 | 0.32 | 6.5x | 16 | 66% |
| EMA 크로스오버 fast=38, slow=130 |
16.6% | -57.5% | 0.62 | 0.29 | 5.9x | 16 | 62% |
| ROC 모멘텀 n=104, threshold=-0.12 |
15.8% | -60.9% | 0.58 | 0.26 | 5.4x | 30 | 74% |
| ADX / DI 방향성 period=36, threshold=10 |
14.3% | -49.8% | 0.58 | 0.29 | 4.7x | 80 | 55% |
| Supertrend period=28, mult=4.9 |
10.9% | -55.9% | 0.49 | 0.20 | 3.3x | 52 | 57% |
| 볼린저 밴드 돌파 n=77, k=1.8 |
7.3% | -62.1% | 0.39 | 0.12 | 2.3x | 36 | 44% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=20, mult=3.6 |
3.0% | -70.2% | 0.25 | 0.04 | 1.4x | 48 | 36% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-7.9% | -84.7% | -0.07 | -0.09 | 0.4x | 100 | 55% |
| MACD fast=22, slow=54, signal=10 |
-8.0% | -79.8% | -0.12 | -0.10 | 0.4x | 161 | 52% |
| Buy and hold | 12.5% | -75.3% | 0.49 | 0.17 | 3.9x | 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 59-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 59-day average falls below the 180-day average