Trend-Following Backtester · Guide · backtest 한국어

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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 9.9%, MDD -22.1%).

Data 2017-11-09 ~ 2026-07-31daily bars 2,191 (8.7 years)Costs 0.5%Venue ARCXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 11.7%, drawdown -36.9%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -22.1%, Sharpe 0.69, 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 9.9%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=7, threshold=-0.04
9.9%-22.1%0.690.452.3x7194%
Donchian 채널 돌파
entryN=70, exitN=76
7.3%-19.4%0.670.381.9x1166%
SMA 크로스오버
fast=18, slow=172
6.4%-28.8%0.580.221.7x1770%
볼린저 밴드 돌파
n=58, k=2.5
2.9%-10.8%0.570.271.3x916%
EMA 크로스오버
fast=26, slow=112
6.4%-26.6%0.570.241.7x1773%
Keltner 채널 돌파
emaPeriod=75, atrPeriod=26, mult=1.2
2.8%-26.7%0.320.111.3x6163%
Supertrend
period=29, mult=4.7
3.0%-28.2%0.310.111.3x5167%
Parabolic SAR
step=0.015, maxStep=0.14
1.3%-35.6%0.170.041.1x15365%
ADX / DI 방향성
period=39, threshold=15
0.8%-18.5%0.160.051.1x2122%
MACD
fast=17, slow=28, signal=14
0.5%-25.8%0.100.021.0x12751%
Buy and hold11.7%-36.9%0.690.322.6x1100%
1x 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -9% -18% -28% -37% 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -22.1% (2022-01-12 → 2023-10-27), recovered after 954 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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