Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares Global Healthcare ETF CDI backtest
10 trend-following strategies were compared on the full daily history of iShares Global Healthcare ETF CDI. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -23.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -23.1%, Sharpe 0.68, 100% 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 100% n=1, threshold=-0.06 |
9.5% | -23.1% | 0.68 | 0.41 | 4.9x | 5 | 100% |
| Donchian 채널 돌파 entryN=67, exitN=105 |
7.2% | -20.1% | 0.61 | 0.36 | 3.4x | 17 | 75% |
| EMA 크로스오버 fast=78, slow=189 |
7.3% | -20.1% | 0.61 | 0.36 | 3.5x | 13 | 76% |
| SMA 크로스오버 fast=59, slow=191 |
7.0% | -22.1% | 0.61 | 0.32 | 3.3x | 25 | 68% |
| 볼린저 밴드 돌파 n=37, k=2.9 |
2.6% | -11.6% | 0.45 | 0.22 | 1.6x | 28 | 16% |
| ADX / DI 방향성 period=27, threshold=19 |
2.4% | -17.1% | 0.40 | 0.14 | 1.5x | 48 | 21% |
| MACD fast=39, slow=70, signal=23 |
3.4% | -19.7% | 0.37 | 0.17 | 1.8x | 118 | 53% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=15, mult=3.5 |
2.7% | -19.9% | 0.36 | 0.13 | 1.6x | 64 | 33% |
| Parabolic SAR step=0.005, maxStep=0.04 |
2.4% | -28.0% | 0.27 | 0.09 | 1.5x | 120 | 57% |
| Supertrend period=33, mult=5 |
1.8% | -30.9% | 0.21 | 0.06 | 1.4x | 90 | 64% |
| Buy and hold | 9.9% | -23.1% | 0.70 | 0.43 | 5.2x | 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 1-day return is greater than -6%
- Sell — Sell when the 1-day return drops to -6% or below