Trend-Following Backtester · Guide · backtest 한국어
etf · NL
iShares NASDAQ 100 UCITS ETF USD backtest
10 trend-following strategies were compared on the full daily history of iShares NASDAQ 100 UCITS ETF USD. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.5%, drawdown -31.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.9%, MDD -25.5%, Sharpe 0.96, 83% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=58 |
15.9% | -25.5% | 0.96 | 0.62 | 5.8x | 27 | 83% |
| Supertrend period=23, mult=4.4 |
12.8% | -17.9% | 0.92 | 0.71 | 4.2x | 59 | 67% |
| ROC 모멘텀 n=41, threshold=-0.06 |
13.1% | -27.5% | 0.80 | 0.48 | 4.3x | 77 | 88% |
| SMA 크로스오버 fast=29, slow=217 |
12.8% | -28.3% | 0.80 | 0.45 | 4.2x | 17 | 76% |
| EMA 크로스오버 fast=54, slow=69 |
12.1% | -29.3% | 0.77 | 0.41 | 3.9x | 21 | 78% |
| 볼린저 밴드 돌파 n=48, k=0.8 |
9.4% | -16.7% | 0.74 | 0.56 | 2.9x | 90 | 62% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=18, mult=1.5 |
8.4% | -20.9% | 0.68 | 0.40 | 2.6x | 92 | 61% |
| Parabolic SAR step=0.01, maxStep=0.14 |
6.1% | -31.4% | 0.49 | 0.20 | 2.0x | 169 | 62% |
| MACD fast=10, slow=54, signal=17 |
5.0% | -32.9% | 0.44 | 0.15 | 1.8x | 172 | 52% |
| ADX / DI 방향성 period=31, threshold=11 |
0.7% | -43.1% | 0.12 | 0.02 | 1.1x | 123 | 43% |
| Buy and hold | 19.5% | -31.2% | 0.97 | 0.62 | 8.3x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 58 days