Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX 60 Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX 60 Index ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.2%, MDD -23.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -54.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.3%, MDD -26.2%, Sharpe 0.55, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 5.2%, MDD -23.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=10, slow=102 |
5.3% | -26.2% | 0.55 | 0.20 | 4.0x | 81 | 66% |
| Donchian 채널 돌파 entryN=52, exitN=64 |
5.2% | -23.0% | 0.53 | 0.22 | 3.9x | 49 | 68% |
| EMA 크로스오버 fast=21, slow=66 |
5.0% | -29.7% | 0.52 | 0.17 | 3.7x | 73 | 66% |
| Supertrend period=24, mult=4.8 |
4.0% | -33.4% | 0.43 | 0.12 | 2.8x | 99 | 63% |
| ROC 모멘텀 n=80, threshold=-0.09 |
4.7% | -43.8% | 0.41 | 0.11 | 3.4x | 93 | 89% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
2.0% | -31.1% | 0.28 | 0.06 | 1.7x | 133 | 47% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=2.7 |
1.6% | -32.2% | 0.25 | 0.05 | 1.5x | 129 | 42% |
| ADX / DI 방향성 period=36, threshold=27 |
0.4% | -6.5% | 0.18 | 0.06 | 1.1x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.0% | -51.9% | -0.04 | -0.02 | 0.8x | 259 | 61% |
| MACD fast=19, slow=37, signal=14 |
-3.4% | -65.0% | -0.26 | -0.05 | 0.4x | 362 | 52% |
| Buy and hold | 6.2% | -54.0% | 0.43 | 0.12 | 5.0x | 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 10-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 10-day average falls below the 102-day average