Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Composite High Dividend Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Composite High Dividend Index ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.8%, MDD -16.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.9%, drawdown -47.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -16.6%, Sharpe 0.94, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 5.8%, MDD -16.4%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=62, exitN=45 |
6.0% | -16.6% | 0.94 | 0.36 | 2.3x | 25 | 54% |
| ROC 모멘텀 n=83, threshold=-0.02 |
5.8% | -16.4% | 0.75 | 0.36 | 2.3x | 69 | 71% |
| ADX / DI 방향성 period=31, threshold=22 |
2.0% | -6.2% | 0.72 | 0.33 | 1.3x | 11 | 13% |
| 볼린저 밴드 돌파 n=64, k=2.7 |
2.4% | -7.9% | 0.69 | 0.30 | 1.4x | 11 | 14% |
| SMA 크로스오버 fast=6, slow=119 |
4.8% | -19.1% | 0.68 | 0.25 | 2.0x | 41 | 65% |
| EMA 크로스오버 fast=7, slow=119 |
3.8% | -24.3% | 0.56 | 0.16 | 1.7x | 45 | 64% |
| Supertrend period=18, mult=4.7 |
2.8% | -28.1% | 0.39 | 0.10 | 1.5x | 65 | 62% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=8, mult=2.5 |
2.2% | -19.0% | 0.39 | 0.12 | 1.4x | 75 | 47% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-0.8% | -43.1% | -0.04 | -0.02 | 0.9x | 245 | 59% |
| MACD fast=18, slow=41, signal=20 |
-1.5% | -35.2% | -0.15 | -0.04 | 0.8x | 163 | 48% |
| Buy and hold | 4.9% | -47.4% | 0.40 | 0.10 | 2.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 62 days
- Sell — Sell when price breaks below the lowest low of the last 45 days