Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Global Base Metals Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Global Base Metals Index Fund. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.5%, MDD -27.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.1%, drawdown -63.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -29.9%, Sharpe 0.66, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 7.5%, MDD -27.0%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=88 |
12.6% | -29.9% | 0.66 | 0.42 | 5.6x | 34 | 57% |
| Donchian 채널 돌파 entryN=45, exitN=59 |
10.7% | -34.5% | 0.57 | 0.31 | 4.4x | 28 | 62% |
| 볼린저 밴드 돌파 n=92, k=1.7 |
7.5% | -27.0% | 0.49 | 0.28 | 2.8x | 36 | 41% |
| EMA 크로스오버 fast=40, slow=81 |
8.3% | -39.0% | 0.48 | 0.21 | 3.2x | 28 | 56% |
| ROC 모멘텀 n=80, threshold=-0.01 |
4.0% | -49.4% | 0.29 | 0.08 | 1.8x | 131 | 58% |
| ADX / DI 방향성 period=14, threshold=34 |
1.9% | -10.4% | 0.28 | 0.18 | 1.3x | 22 | 6% |
| MACD fast=8, slow=114, signal=10 |
-0.9% | -57.0% | 0.07 | -0.02 | 0.9x | 252 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.9 |
-0.8% | -39.1% | 0.05 | -0.02 | 0.9x | 104 | 43% |
| Supertrend period=25, mult=4.5 |
-1.3% | -48.8% | 0.05 | -0.03 | 0.8x | 94 | 52% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-2.9% | -61.0% | -0.03 | -0.05 | 0.7x | 225 | 52% |
| Buy and hold | 5.1% | -63.9% | 0.32 | 0.08 | 2.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 30-day average falls below the 88-day average