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. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -29.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -16.8%, Sharpe 0.53, 98% 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 98% n=19, threshold=-0.09 |
6.9% | -16.8% | 0.53 | 0.41 | 2.2x | 13 | 98% |
| Donchian 채널 돌파 entryN=8, exitN=51 |
3.5% | -16.6% | 0.33 | 0.21 | 1.5x | 49 | 86% |
| 볼린저 밴드 돌파 n=49, k=3.1 |
0.8% | -7.8% | 0.25 | 0.10 | 1.1x | 10 | 9% |
| ADX / DI 방향성 period=33, threshold=20 |
0.9% | -9.2% | 0.23 | 0.10 | 1.1x | 14 | 16% |
| EMA 크로스오버 fast=67, slow=113 |
1.0% | -29.7% | 0.14 | 0.03 | 1.1x | 19 | 73% |
| SMA 크로스오버 fast=46, slow=210 |
0.6% | -29.5% | 0.11 | 0.02 | 1.1x | 19 | 69% |
| Supertrend period=24, mult=4.8 |
-0.0% | -20.3% | 0.05 | -0.00 | 1.0x | 71 | 57% |
| MACD fast=26, slow=43, signal=18 |
-0.6% | -32.9% | -0.02 | -0.02 | 0.9x | 116 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=20, mult=4 |
-1.8% | -28.9% | -0.21 | -0.06 | 0.8x | 49 | 34% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-2.9% | -33.2% | -0.24 | -0.09 | 0.7x | 185 | 57% |
| Buy and hold | 7.2% | -29.5% | 0.53 | 0.24 | 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 19-day return is greater than -9%
- Sell — Sell when the 19-day return drops to -9% or below