Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares NASDAQ 100 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares NASDAQ 100 UCITS ETF. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 13.9%, MDD -16.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -37.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 13.9%, MDD -16.2%, Sharpe 0.96, 65% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.3%, MDD -29.2%, exposure 74%.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 21.5%p (CAGR 13.9%, MDD -16.2%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.04 |
13.9% | -16.2% | 0.96 | 0.86 | 2.8x | 55 | 65% |
| EMA 크로스오버 fast=33, slow=105 |
14.7% | -24.2% | 0.93 | 0.61 | 3.0x | 9 | 76% |
| ROC 모멘텀 n=118, threshold=0.03 |
13.5% | -17.1% | 0.90 | 0.79 | 2.8x | 35 | 71% |
| SMA 크로스오버 fast=55, slow=201 |
15.3% | -29.2% | 0.90 | 0.53 | 3.1x | 7 | 74% |
| 볼린저 밴드 돌파 n=32, k=1.4 |
10.2% | -19.0% | 0.86 | 0.54 | 2.2x | 54 | 51% |
| Donchian 채널 돌파 entryN=21, exitN=72 |
14.7% | -39.3% | 0.85 | 0.37 | 3.0x | 13 | 85% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=1.9 |
10.0% | -17.5% | 0.84 | 0.57 | 2.1x | 48 | 52% |
| Supertrend period=10, mult=3.1 |
10.9% | -14.3% | 0.82 | 0.77 | 2.3x | 69 | 63% |
| MACD fast=19, slow=52, signal=11 |
5.4% | -23.8% | 0.45 | 0.23 | 1.5x | 113 | 53% |
| ADX / DI 방향성 period=37, threshold=11 |
1.3% | -32.3% | 0.17 | 0.04 | 1.1x | 74 | 38% |
| Buy and hold | 16.5% | -37.7% | 0.81 | 0.44 | 3.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots