Trend-Following Backtester · Guide · backtest 한국어
etf · BR
iShares S&P 500 Fundo de Investimento em Cotas de Fundo de Indice - Investimento no Exterior backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 Fundo de Investimento em Cotas de Fundo de Indice - Investimento no Exterior. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.6%, MDD -16.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.1%, drawdown -30.7%).
Sharpe leader (same as main): Supertrend — CAGR 16.6%, MDD -16.8%, Sharpe 1.12, 75% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.2%, MDD -31.7%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Supertrend — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 14.0%p (CAGR 16.6%, MDD -16.8%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=4.4 |
16.6% | -16.8% | 1.12 | 0.99 | 6.6x | 35 | 75% |
| ROC 모멘텀 Hold-like · Exposure 98% n=13, threshold=-0.09 |
20.2% | -31.7% | 1.09 | 0.64 | 9.6x | 19 | 98% |
| EMA 크로스오버 fast=42, slow=115 |
17.8% | -27.8% | 1.06 | 0.64 | 7.6x | 17 | 77% |
| Donchian 채널 돌파 entryN=45, exitN=55 |
16.7% | -22.5% | 1.06 | 0.74 | 6.7x | 19 | 77% |
| SMA 크로스오버 fast=18, slow=78 |
15.4% | -26.2% | 0.98 | 0.59 | 5.8x | 37 | 72% |
| ADX / DI 방향성 period=31, threshold=15 |
10.6% | -21.1% | 0.84 | 0.50 | 3.5x | 73 | 53% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=16, mult=2.2 |
8.8% | -21.1% | 0.74 | 0.42 | 2.8x | 65 | 54% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
7.3% | -30.0% | 0.61 | 0.24 | 2.4x | 95 | 58% |
| Parabolic SAR step=0.005, maxStep=0.34 |
7.4% | -33.9% | 0.59 | 0.22 | 2.4x | 109 | 61% |
| MACD fast=12, slow=52, signal=18 |
6.2% | -32.4% | 0.53 | 0.19 | 2.1x | 148 | 50% |
| Buy and hold | 21.1% | -30.7% | 1.09 | 0.69 | 10.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)