Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Core S&P 500 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P 500 UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.6%, MDD -20.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.2%, drawdown -38.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.6%, MDD -20.8%, Sharpe 0.91, 93% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 12.6%, MDD -20.8%, exposure 93%).
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 n=143, threshold=-0.09 |
12.6% | -20.8% | 0.91 | 0.61 | 7.0x | 15 | 93% |
| Donchian 채널 돌파 entryN=60, exitN=132 |
11.0% | -19.1% | 0.89 | 0.58 | 5.6x | 13 | 87% |
| EMA 크로스오버 fast=22, slow=200 |
10.0% | -20.6% | 0.82 | 0.48 | 4.7x | 19 | 83% |
| SMA 크로스오버 fast=56, slow=157 |
9.2% | -25.5% | 0.76 | 0.36 | 4.2x | 19 | 79% |
| Supertrend period=34, mult=4.8 |
4.2% | -47.1% | 0.37 | 0.09 | 2.0x | 87 | 71% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=30, mult=3.2 |
2.4% | -26.8% | 0.30 | 0.09 | 1.5x | 77 | 59% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
1.6% | -19.9% | 0.22 | 0.08 | 1.3x | 101 | 56% |
| MACD fast=15, slow=69, signal=20 |
1.0% | -28.9% | 0.15 | 0.04 | 1.2x | 193 | 50% |
| ADX / DI 방향성 period=35, threshold=28 |
0.1% | -2.6% | 0.12 | 0.05 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.06 |
0.0% | -50.5% | 0.08 | 0.00 | 1.0x | 145 | 63% |
| Buy and hold | 12.2% | -38.1% | 0.74 | 0.32 | 6.6x | 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 143-day return is greater than -9%
- Sell — Sell when the 143-day return drops to -9% or below