Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core S&P 500 Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P 500 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 13.5%, MDD -19.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -27.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -19.7%, Sharpe 1.10, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 7.5%p (CAGR 13.5%, MDD -19.7%, exposure 89%).
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=17, exitN=60 |
13.5% | -19.7% | 1.10 | 0.68 | 5.4x | 25 | 89% |
| EMA 크로스오버 fast=24, slow=59 |
10.7% | -19.5% | 0.96 | 0.55 | 3.9x | 31 | 79% |
| ROC 모멘텀 n=74, threshold=-0.04 |
10.1% | -20.2% | 0.85 | 0.50 | 3.6x | 55 | 87% |
| SMA 크로스오버 fast=19, slow=152 |
9.9% | -23.1% | 0.84 | 0.43 | 3.5x | 21 | 77% |
| Supertrend period=26, mult=5 |
6.7% | -13.6% | 0.69 | 0.49 | 2.4x | 55 | 70% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=22, mult=1.5 |
5.3% | -19.4% | 0.57 | 0.27 | 2.0x | 79 | 71% |
| Parabolic SAR step=0.005, maxStep=0.08 |
4.9% | -17.8% | 0.54 | 0.27 | 1.9x | 120 | 65% |
| ADX / DI 방향성 period=38, threshold=5 |
4.6% | -20.4% | 0.50 | 0.23 | 1.8x | 144 | 69% |
| 볼린저 밴드 돌파 n=59, k=0.7 |
3.5% | -21.3% | 0.40 | 0.16 | 1.6x | 104 | 67% |
| MACD fast=24, slow=45, signal=13 |
0.2% | -27.0% | 0.07 | 0.01 | 1.0x | 170 | 52% |
| Buy and hold | 15.0% | -27.2% | 0.97 | 0.55 | 6.4x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 60 days