Trend-Following Backtester · Guide · backtest 한국어
etf · CH
iShares Core SPI(R) ETF (CH) backtest
10 trend-following strategies were compared on the full daily history of iShares Core SPI(R) ETF (CH). 0 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
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -27.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.2%, MDD -23.7%, 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=12, threshold=-0.12 |
4.2% | -23.7% | 0.37 | 0.18 | 1.7x | 7 | 99% |
| 볼린저 밴드 돌파 n=49, k=2.9 |
0.4% | -4.3% | 0.18 | 0.09 | 1.0x | 7 | 5% |
| EMA 크로스오버 fast=91, slow=188 |
1.4% | -28.4% | 0.17 | 0.05 | 1.2x | 15 | 63% |
| SMA 크로스오버 fast=51, slow=135 |
1.3% | -28.8% | 0.17 | 0.05 | 1.2x | 23 | 62% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=29, mult=2.6 |
0.2% | -4.3% | 0.12 | 0.05 | 1.0x | 10 | 3% |
| Donchian 채널 돌파 entryN=18, exitN=42 |
0.4% | -24.9% | 0.09 | 0.02 | 1.0x | 47 | 74% |
| Supertrend period=29, mult=4 |
-0.2% | -27.5% | 0.03 | -0.01 | 1.0x | 71 | 65% |
| ADX / DI 방향성 period=38, threshold=20 |
-0.1% | -3.3% | -0.10 | -0.04 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.3% | -37.7% | -0.21 | -0.06 | 0.8x | 121 | 59% |
| MACD fast=40, slow=44, signal=18 |
-2.8% | -39.2% | -0.29 | -0.07 | 0.7x | 105 | 52% |
| Buy and hold | 4.4% | -27.4% | 0.37 | 0.16 | 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 12-day return is greater than -12%
- Sell — Sell when the 12-day return drops to -12% or below