Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares S&P 500 Equal Weight ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares S&P 500 Equal Weight ETF. 1 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
1 of 10 beat buy and hold (CAGR 6.9%, drawdown -29.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -16.8%, Sharpe 0.61, 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=12, threshold=-0.11 |
8.2% | -16.8% | 0.61 | 0.49 | 2.5x | 3 | 99% |
| Donchian 채널 돌파 entryN=16, exitN=76 |
4.1% | -18.2% | 0.38 | 0.23 | 1.6x | 27 | 84% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=34, mult=3.4 |
0.3% | -2.2% | 0.34 | 0.12 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=23, k=3.3 |
0.5% | -5.2% | 0.30 | 0.10 | 1.1x | 4 | 2% |
| ADX / DI 방향성 period=33, threshold=20 |
0.9% | -9.2% | 0.23 | 0.10 | 1.1x | 14 | 16% |
| SMA 크로스오버 fast=17, slow=197 |
1.7% | -25.8% | 0.20 | 0.06 | 1.2x | 27 | 69% |
| MACD fast=35, slow=51, signal=51 |
1.1% | -21.7% | 0.16 | 0.05 | 1.1x | 60 | 50% |
| EMA 크로스오버 fast=40, slow=101 |
1.2% | -23.5% | 0.16 | 0.05 | 1.1x | 27 | 71% |
| Supertrend period=37, mult=5 |
0.9% | -20.0% | 0.14 | 0.05 | 1.1x | 66 | 60% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-2.9% | -33.2% | -0.24 | -0.09 | 0.7x | 187 | 57% |
| Buy and hold | 6.9% | -29.5% | 0.51 | 0.23 | 2.2x | 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 12-day return is greater than -11%
- Sell — Sell when the 12-day return drops to -11% or below