Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares S&P 500 ETF CDI backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 ETF CDI. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -25.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -4.4%, drawdown -95.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -25.3%, Sharpe 0.33, 40% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.7%, MDD -93.9%, exposure 70%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 70.4%p (CAGR 2.4%, MDD -25.3%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=12 |
2.4% | -25.3% | 0.33 | 0.10 | 1.6x | 120 | 40% |
| SMA 크로스오버 fast=56, slow=284 |
9.7% | -93.9% | 0.25 | 0.10 | 5.6x | 13 | 70% |
| EMA 크로스오버 fast=72, slow=215 |
8.5% | -93.9% | 0.24 | 0.09 | 4.6x | 11 | 66% |
| ROC 모멘텀 n=125, threshold=-0.11 |
-5.2% | -96.2% | 0.23 | -0.05 | 0.4x | 45 | 91% |
| Donchian 채널 돌파 entryN=32, exitN=79 |
-5.9% | -95.0% | 0.23 | -0.06 | 0.3x | 29 | 80% |
| Supertrend period=12, mult=2.6 |
-2.0% | -93.5% | 0.21 | -0.02 | 0.7x | 244 | 63% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-3.9% | -95.0% | 0.21 | -0.04 | 0.5x | 314 | 58% |
| MACD fast=7, slow=50, signal=6 |
-10.3% | -97.3% | 0.18 | -0.11 | 0.1x | 498 | 54% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=22, mult=3 |
-10.2% | -94.6% | -0.03 | -0.11 | 0.1x | 84 | 39% |
| 볼린저 밴드 돌파 n=35, k=1.5 |
-11.7% | -95.3% | -0.09 | -0.12 | 0.1x | 140 | 49% |
| Buy and hold | -4.4% | -95.6% | 0.23 | -0.05 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)