Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares Core Cash ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Cash ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.0%, drawdown -0.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD -0.5%, Sharpe 0.03, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=20, threshold=-0.01 |
0.0% | -0.5% | 0.03 | 0.04 | 1.0x | 1 | 99% |
| EMA 크로스오버 fast=130, slow=253 |
-0.3% | -2.8% | -0.35 | -0.11 | 1.0x | 6 | 61% |
| Donchian 채널 돌파 entryN=264, exitN=137 |
-0.4% | -3.4% | -0.42 | -0.11 | 1.0x | 6 | 58% |
| ADX / DI 방향성 period=37, threshold=33 |
-0.1% | -1.0% | -0.45 | -0.11 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
-0.1% | -1.1% | -0.50 | -0.11 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=18, mult=3.5 |
-0.1% | -1.4% | -0.52 | -0.11 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=62, slow=205 |
-1.0% | -9.2% | -1.02 | -0.11 | 0.9x | 19 | 53% |
| Supertrend period=7, mult=5 |
-5.2% | -39.5% | -3.29 | -0.13 | 0.6x | 82 | 15% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.6% | -41.7% | -3.41 | -0.13 | 0.6x | 90 | 42% |
| MACD fast=31, slow=47, signal=24 |
-12.6% | -71.5% | -5.48 | -0.18 | 0.3x | 227 | 45% |
| Buy and hold | 0.0% | -0.5% | 0.03 | 0.04 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 20-day return is greater than -1%
- Sell — Sell when the 20-day return drops to -1% or below