Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares NASDAQ 100 UCITS ETF USD backtest
10 trend-following strategies were compared on the full daily history of iShares NASDAQ 100 UCITS ETF USD. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.9%, drawdown -32.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.4%, MDD -28.4%, Sharpe 0.97, 82% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=68, slow=341 |
16.4% | -28.4% | 0.97 | 0.58 | 12.0x | 7 | 82% |
| EMA 크로스오버 fast=39, slow=141 |
14.0% | -28.4% | 0.91 | 0.49 | 8.5x | 21 | 78% |
| Donchian 채널 돌파 entryN=17, exitN=57 |
13.2% | -35.6% | 0.80 | 0.37 | 7.5x | 37 | 84% |
| ROC 모멘텀 n=116, threshold=0.02 |
10.2% | -27.8% | 0.74 | 0.36 | 4.8x | 95 | 72% |
| Supertrend period=26, mult=4.5 |
8.7% | -39.6% | 0.64 | 0.22 | 3.9x | 94 | 66% |
| 볼린저 밴드 돌파 n=50, k=0.8 |
6.5% | -34.7% | 0.52 | 0.19 | 2.8x | 122 | 62% |
| Parabolic SAR step=0.02, maxStep=0.02 |
7.0% | -38.1% | 0.51 | 0.18 | 3.0x | 91 | 73% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=1.5 |
5.4% | -37.7% | 0.44 | 0.14 | 2.3x | 122 | 64% |
| MACD fast=14, slow=55, signal=18 |
3.3% | -30.6% | 0.30 | 0.11 | 1.7x | 196 | 53% |
| ADX / DI 방향성 period=35, threshold=12 |
1.4% | -35.0% | 0.19 | 0.04 | 1.2x | 107 | 36% |
| Buy and hold | 17.9% | -32.8% | 0.91 | 0.55 | 14.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 68-day average price crosses above the 341-day average
- Sell — Sell (to cash) when the 68-day average falls below the 341-day average