Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Dividend ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.4%, MDD -22.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -36.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.4%, MDD -22.1%, Sharpe 0.72, 94% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 14.8%p (CAGR 10.4%, MDD -22.1%, exposure 94%).
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=7, threshold=-0.04 |
10.4% | -22.1% | 0.72 | 0.47 | 2.4x | 71 | 94% |
| Donchian 채널 돌파 entryN=70, exitN=76 |
7.8% | -19.4% | 0.71 | 0.40 | 1.9x | 11 | 66% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
3.5% | -10.8% | 0.66 | 0.32 | 1.3x | 9 | 17% |
| SMA 크로스오버 fast=18, slow=172 |
6.9% | -28.8% | 0.62 | 0.24 | 1.8x | 17 | 70% |
| EMA 크로스오버 fast=26, slow=112 |
6.9% | -26.6% | 0.60 | 0.26 | 1.8x | 17 | 73% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=26, mult=1.2 |
3.3% | -26.7% | 0.37 | 0.12 | 1.3x | 61 | 63% |
| Supertrend period=29, mult=4.7 |
3.5% | -28.2% | 0.35 | 0.13 | 1.4x | 51 | 67% |
| ADX / DI 방향성 period=39, threshold=15 |
1.4% | -18.5% | 0.25 | 0.07 | 1.1x | 21 | 23% |
| Parabolic SAR step=0.015, maxStep=0.14 |
1.8% | -35.6% | 0.21 | 0.05 | 1.2x | 153 | 65% |
| MACD fast=17, slow=28, signal=14 |
0.9% | -25.8% | 0.14 | 0.04 | 1.1x | 128 | 51% |
| Buy and hold | 12.2% | -36.9% | 0.72 | 0.33 | 2.7x | 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 7-day return is greater than -4%
- Sell — Sell when the 7-day return drops to -4% or below