Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Digitalisation UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Digitalisation UCITS ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.1%, MDD -31.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -41.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -31.4%, Sharpe 0.56, 76% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 9.6%p (CAGR 6.1%, MDD -31.2%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=41, exitN=78 |
9.7% | -31.4% | 0.56 | 0.31 | 2.5x | 15 | 76% |
| EMA 크로스오버 fast=41, slow=84 |
6.1% | -31.2% | 0.40 | 0.20 | 1.8x | 19 | 67% |
| SMA 크로스오버 fast=25, slow=61 |
5.8% | -33.2% | 0.39 | 0.17 | 1.8x | 33 | 65% |
| ROC 모멘텀 n=90, threshold=-0.01 |
4.7% | -33.4% | 0.33 | 0.14 | 1.6x | 59 | 68% |
| Supertrend period=26, mult=5 |
3.4% | -32.5% | 0.27 | 0.10 | 1.4x | 53 | 56% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=7, mult=0.6 |
2.1% | -36.8% | 0.20 | 0.06 | 1.2x | 111 | 60% |
| ADX / DI 방향성 period=14, threshold=34 |
0.3% | -5.2% | 0.14 | 0.05 | 1.0x | 12 | 3% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
-1.7% | -35.6% | -0.05 | -0.05 | 0.8x | 69 | 52% |
| MACD fast=41, slow=43, signal=23 |
-3.1% | -44.7% | -0.14 | -0.07 | 0.7x | 87 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.9% | -45.4% | -0.20 | -0.09 | 0.7x | 93 | 55% |
| Buy and hold | 6.1% | -41.1% | 0.36 | 0.15 | 1.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 41 days
- Sell — Sell when price breaks below the lowest low of the last 78 days