Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares S&P 500 Energy Sector UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 Energy Sector UCITS ETF. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -15.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.1%, drawdown -63.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -29.8%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 6.2%, MDD -15.4%, exposure 19%).
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=67, exitN=53 |
10.3% | -29.8% | 0.63 | 0.35 | 2.9x | 19 | 52% |
| Supertrend period=21, mult=4.8 |
10.0% | -38.1% | 0.57 | 0.26 | 2.8x | 53 | 56% |
| 볼린저 밴드 돌파 n=55, k=3 |
6.2% | -15.4% | 0.56 | 0.40 | 1.9x | 16 | 19% |
| SMA 크로스오버 fast=44, slow=130 |
8.8% | -37.5% | 0.54 | 0.23 | 2.5x | 21 | 55% |
| EMA 크로스오버 fast=57, slow=95 |
7.3% | -43.1% | 0.46 | 0.17 | 2.1x | 23 | 56% |
| ROC 모멘텀 n=106, threshold=0.02 |
6.7% | -46.5% | 0.43 | 0.14 | 2.0x | 77 | 55% |
| MACD fast=19, slow=49, signal=12 |
5.6% | -37.3% | 0.38 | 0.15 | 1.8x | 127 | 52% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=17, mult=2.1 |
4.9% | -33.9% | 0.37 | 0.15 | 1.7x | 55 | 45% |
| ADX / DI 방향성 period=10, threshold=36 |
2.1% | -19.9% | 0.29 | 0.11 | 1.3x | 44 | 10% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.1% | -51.0% | 0.07 | -0.02 | 0.9x | 99 | 52% |
| Buy and hold | 6.1% | -63.9% | 0.35 | 0.10 | 1.9x | 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 67 days
- Sell — Sell when price breaks below the lowest low of the last 53 days