Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares FTSE 250 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares FTSE 250 UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -41.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.8%, MDD -32.2%, Sharpe 0.60, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.1 |
8.8% | -32.2% | 0.60 | 0.27 | 4.4x | 7 | 100% |
| EMA 크로스오버 fast=44, slow=54 |
4.6% | -31.4% | 0.45 | 0.15 | 2.2x | 45 | 67% |
| Supertrend period=28, mult=4.9 |
4.4% | -36.7% | 0.44 | 0.12 | 2.1x | 59 | 62% |
| Donchian 채널 돌파 entryN=45, exitN=50 |
4.0% | -23.7% | 0.42 | 0.17 | 2.0x | 41 | 60% |
| SMA 크로스오버 fast=43, slow=147 |
4.2% | -40.2% | 0.41 | 0.10 | 2.1x | 29 | 66% |
| 볼린저 밴드 돌파 n=67, k=3.3 |
0.9% | -3.9% | 0.35 | 0.22 | 1.2x | 2 | 3% |
| ADX / DI 방향성 period=21, threshold=34 |
0.2% | -2.3% | 0.22 | 0.09 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=3.5 |
0.0% | -3.7% | 0.05 | 0.01 | 1.0x | 2 | 0% |
| MACD fast=16, slow=25, signal=13 |
-0.3% | -48.7% | 0.02 | -0.01 | 0.9x | 264 | 50% |
| Parabolic SAR step=0.015, maxStep=0.02 |
-2.0% | -48.5% | -0.12 | -0.04 | 0.7x | 119 | 66% |
| Buy and hold | 7.4% | -41.8% | 0.51 | 0.18 | 3.5x | 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 5-day return is greater than -10%
- Sell — Sell when the 5-day return drops to -10% or below