Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Capped Utilities Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Capped Utilities Index Fund. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.7%, drawdown -37.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.1%, MDD -34.8%, Sharpe 0.37, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=15, threshold=-0.1 |
4.1% | -34.8% | 0.37 | 0.12 | 1.8x | 9 | 99% |
| Donchian 채널 돌파 entryN=86, exitN=36 |
2.3% | -22.5% | 0.36 | 0.10 | 1.4x | 27 | 39% |
| EMA 크로스오버 fast=34, slow=378 |
3.7% | -37.8% | 0.35 | 0.10 | 1.7x | 7 | 60% |
| SMA 크로스오버 fast=43, slow=242 |
3.2% | -37.8% | 0.32 | 0.08 | 1.6x | 15 | 59% |
| ADX / DI 방향성 period=17, threshold=40 |
0.1% | -4.7% | 0.07 | 0.02 | 1.0x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=4 |
-0.0% | -5.2% | -0.01 | -0.01 | 1.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
-0.1% | -5.5% | -0.02 | -0.01 | 1.0x | 4 | 3% |
| Supertrend period=8, mult=4.4 |
-1.1% | -41.9% | -0.10 | -0.03 | 0.8x | 79 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.5% | -44.6% | -0.23 | -0.06 | 0.7x | 135 | 57% |
| MACD fast=15, slow=25, signal=24 |
-4.4% | -52.0% | -0.45 | -0.08 | 0.5x | 194 | 51% |
| Buy and hold | 3.7% | -37.8% | 0.31 | 0.10 | 1.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 15-day return is greater than -10%
- Sell — Sell when the 15-day return drops to -10% or below