Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Diversified Commodity Swap UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Diversified Commodity Swap UCITS ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.8%, MDD -25.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.2%, drawdown -40.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -25.5%, Sharpe 0.45, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 14.8%p (CAGR 4.8%, MDD -25.5%, exposure 38%).
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=37, slow=141 |
7.0% | -25.5% | 0.45 | 0.27 | 1.8x | 15 | 54% |
| Donchian 채널 돌파 entryN=40, exitN=63 |
6.8% | -25.5% | 0.44 | 0.27 | 1.8x | 18 | 69% |
| EMA 크로스오버 fast=54, slow=79 |
6.2% | -25.5% | 0.42 | 0.24 | 1.7x | 17 | 55% |
| 볼린저 밴드 돌파 n=49, k=1.6 |
5.4% | -25.5% | 0.39 | 0.21 | 1.6x | 44 | 41% |
| Supertrend period=5, mult=4.8 |
5.2% | -27.5% | 0.37 | 0.19 | 1.6x | 49 | 57% |
| ADX / DI 방향성 period=28, threshold=16 |
2.8% | -15.2% | 0.36 | 0.18 | 1.3x | 40 | 23% |
| ROC 모멘텀 n=109, threshold=0.05 |
4.8% | -25.5% | 0.35 | 0.19 | 1.5x | 47 | 38% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=18, mult=4 |
3.8% | -27.4% | 0.31 | 0.14 | 1.4x | 28 | 24% |
| MACD fast=21, slow=49, signal=25 |
2.1% | -27.7% | 0.20 | 0.07 | 1.2x | 75 | 50% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-6.4% | -49.9% | -0.24 | -0.13 | 0.5x | 181 | 52% |
| Buy and hold | 4.2% | -40.4% | 0.30 | 0.10 | 1.4x | 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 37-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 37-day average falls below the 141-day average