Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core Balanced ETF Portfolio backtest
10 trend-following strategies were compared on the full daily history of iShares Core Balanced ETF Portfolio. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.9%, MDD -9.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.0%, drawdown -32.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.9%, MDD -9.6%, Sharpe 0.52, 68% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.1%, MDD -17.0%, exposure 86%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 23.2%p (CAGR 2.9%, MDD -9.6%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=91 |
2.9% | -9.6% | 0.52 | 0.30 | 1.7x | 35 | 68% |
| SMA 크로스오버 fast=5, slow=134 |
2.8% | -10.1% | 0.52 | 0.28 | 1.7x | 47 | 67% |
| ROC 모멘텀 n=184, threshold=-0.06 |
3.1% | -17.0% | 0.46 | 0.18 | 1.8x | 25 | 86% |
| Donchian 채널 돌파 entryN=55, exitN=79 |
2.0% | -9.5% | 0.38 | 0.21 | 1.5x | 31 | 66% |
| Keltner 채널 돌파 emaPeriod=123, atrPeriod=25, mult=1.2 |
1.8% | -10.9% | 0.35 | 0.17 | 1.4x | 75 | 65% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
0.0% | -1.4% | 0.14 | 0.03 | 1.0x | 2 | 0% |
| MACD fast=19, slow=128, signal=52 |
0.5% | -17.5% | 0.12 | 0.03 | 1.1x | 96 | 50% |
| ADX / DI 방향성 period=33, threshold=35 |
0.0% | -0.9% | 0.01 | 0.00 | 1.0x | 2 | 1% |
| Supertrend period=15, mult=5 |
-0.2% | -24.3% | -0.01 | -0.01 | 1.0x | 99 | 63% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.7% | -46.2% | -0.46 | -0.06 | 0.6x | 169 | 59% |
| Buy and hold | 3.0% | -32.8% | 0.37 | 0.09 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 91-day EMA
- Sell — Sell when the 19-day EMA falls below the 91-day EMA