Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core S&P 500 Index ETF (CAD-Hedged) backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P 500 Index ETF (CAD-Hedged). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.9%, MDD -31.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -59.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -31.6%, Sharpe 0.52, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 27.4%p (CAGR 5.9%, MDD -31.6%, exposure 73%).
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=31, slow=219 |
5.9% | -31.6% | 0.52 | 0.19 | 4.0x | 27 | 73% |
| EMA 크로스오버 fast=23, slow=146 |
5.0% | -21.6% | 0.48 | 0.23 | 3.2x | 41 | 71% |
| ROC 모멘텀 n=178, threshold=-0.08 |
5.6% | -32.0% | 0.46 | 0.18 | 3.8x | 67 | 86% |
| Donchian 채널 돌파 entryN=95, exitN=75 |
3.8% | -32.8% | 0.40 | 0.12 | 2.5x | 37 | 66% |
| Supertrend period=17, mult=5 |
2.0% | -41.0% | 0.24 | 0.05 | 1.6x | 87 | 64% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=27, mult=3.5 |
0.7% | -27.7% | 0.13 | 0.03 | 1.2x | 76 | 37% |
| 볼린저 밴드 돌파 n=34, k=3 |
0.1% | -4.4% | 0.11 | 0.02 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.6% | -60.6% | -0.17 | -0.04 | 0.5x | 245 | 62% |
| ADX / DI 방향성 period=32, threshold=25 |
-0.2% | -8.4% | -0.23 | -0.03 | 0.9x | 2 | 0% |
| MACD fast=14, slow=25, signal=15 |
-4.9% | -74.9% | -0.38 | -0.07 | 0.3x | 390 | 51% |
| Buy and hold | 6.0% | -59.0% | 0.40 | 0.10 | 4.1x | 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 31-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 31-day average falls below the 219-day average