Trend-Following Backtester · Guide · backtest 한국어

etf · CA

iShares S&P/TSX Capped Materials Index ETF backtest

10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Capped Materials Index ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.2%, MDD -36.7%).

Data 2005-12-28 ~ 2026-07-31daily bars 5,170 (20.6 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 6.7%, drawdown -66.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -36.7%, Sharpe 0.36, 45% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 5.2%, MDD -36.7%, exposure 45%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=119, exitN=75
5.2%-36.7%0.360.142.8x2445%
SMA 크로스오버
fast=54, slow=143
5.1%-58.3%0.340.092.8x3460%
볼린저 밴드 돌파
n=48, k=3.1
1.8%-14.3%0.310.131.5x148%
EMA 크로스오버
fast=50, slow=64
3.7%-60.5%0.280.062.1x4659%
ROC 모멘텀
n=148, threshold=0.01
3.1%-54.7%0.250.061.9x17256%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=24, mult=3.4
0.6%-7.5%0.230.071.1x102%
ADX / DI 방향성
period=19, threshold=42
0.2%-3.1%0.200.081.1x20%
Supertrend
period=33, mult=5
-1.5%-70.0%0.02-0.020.7x9853%
MACD
fast=33, slow=85, signal=17
-3.9%-70.2%-0.11-0.060.4x18450%
Parabolic SAR
step=0.04, maxStep=0.16
-8.0%-89.0%-0.32-0.090.2x58954%
Buy and hold6.7%-66.2%0.370.103.8x1100%
1x 2006 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -33% -50% -66% 2006 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -36.7% (2016-08-10 → 2023-06-21), recovered after 3,292 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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