Trend-Following Backtester · Guide · backtest 한국어
etf · CH
iShares Swiss Dividend ETF (CH) backtest
10 trend-following strategies were compared on the full daily history of iShares Swiss Dividend ETF (CH). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -30.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.2%, MDD -27.8%, Sharpe 0.44, 98% 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 98% n=10, threshold=-0.08 |
5.2% | -27.8% | 0.44 | 0.19 | 1.9x | 17 | 98% |
| SMA 크로스오버 fast=103, slow=201 |
4.1% | -30.8% | 0.39 | 0.13 | 1.6x | 15 | 66% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
0.5% | -5.2% | 0.22 | 0.10 | 1.1x | 7 | 6% |
| EMA 크로스오버 fast=76, slow=193 |
1.1% | -30.8% | 0.15 | 0.03 | 1.1x | 17 | 66% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=21, mult=4 |
0.3% | -5.5% | 0.12 | 0.06 | 1.0x | 12 | 7% |
| ADX / DI 방향성 period=19, threshold=31 |
0.0% | -2.8% | 0.04 | 0.02 | 1.0x | 6 | 1% |
| Supertrend period=28, mult=3.4 |
-0.6% | -28.1% | -0.01 | -0.02 | 0.9x | 89 | 65% |
| Donchian 채널 돌파 entryN=112, exitN=70 |
-1.2% | -28.2% | -0.08 | -0.04 | 0.9x | 25 | 59% |
| MACD fast=17, slow=48, signal=18 |
-3.5% | -42.8% | -0.37 | -0.08 | 0.6x | 145 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-5.5% | -52.6% | -0.51 | -0.10 | 0.5x | 257 | 59% |
| Buy and hold | 5.5% | -30.8% | 0.43 | 0.18 | 1.9x | 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 10-day return is greater than -8%
- Sell — Sell when the 10-day return drops to -8% or below