Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Premium Money Market ETF Trust Units backtest
10 trend-following strategies were compared on the full daily history of iShares Premium Money Market ETF Trust Units. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.0%, drawdown -1.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% exposure.
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 n=38, threshold=0.09 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| ADX / DI 방향성 period=36, threshold=48 |
-0.1% | -0.9% | -0.26 | -0.05 | 1.0x | 2 | 7% |
| 볼린저 밴드 돌파 n=21, k=3.4 |
-0.1% | -1.1% | -0.34 | -0.05 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=3.6 |
-0.1% | -1.2% | -0.37 | -0.05 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=184, slow=249 |
-1.1% | -17.8% | -1.22 | -0.06 | 0.8x | 36 | 44% |
| Donchian 채널 돌파 entryN=206, exitN=78 |
-1.3% | -21.2% | -1.39 | -0.06 | 0.8x | 42 | 22% |
| Supertrend period=9, mult=5 |
-2.7% | -39.5% | -2.31 | -0.07 | 0.6x | 82 | 26% |
| SMA 크로스오버 fast=62, slow=126 |
-3.2% | -45.4% | -2.39 | -0.07 | 0.5x | 117 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.1% | -54.2% | -2.94 | -0.08 | 0.5x | 136 | 33% |
| MACD fast=13, slow=56, signal=19 |
-14.4% | -94.4% | -6.00 | -0.15 | 0.1x | 538 | 48% |
| Buy and hold | -0.0% | -1.0% | -0.04 | -0.03 | 1.0x | 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 38-day return is greater than 9%
- Sell — Sell when the 38-day return drops to 9% or below