Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI USA Quality GARP ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI USA Quality GARP ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 19.5%, MDD -14.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.0%, drawdown -31.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.4%, MDD -16.1%, Sharpe 1.20, 70% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 19.5%, MDD -14.8%, exposure 76%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 15.2%p (CAGR 19.5%, MDD -14.8%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=24, slow=203 |
18.4% | -16.1% | 1.20 | 1.14 | 3.0x | 5 | 70% |
| EMA 크로스오버 fast=56, slow=106 |
19.5% | -14.8% | 1.19 | 1.32 | 3.2x | 5 | 76% |
| ROC 모멘텀 n=120, threshold=0.03 |
16.2% | -16.1% | 1.07 | 1.01 | 2.7x | 19 | 70% |
| Donchian 채널 돌파 entryN=25, exitN=69 |
17.6% | -33.8% | 1.00 | 0.52 | 2.9x | 13 | 84% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=11, mult=3.1 |
11.5% | -15.4% | 0.99 | 0.75 | 2.0x | 30 | 47% |
| 볼린저 밴드 돌파 n=45, k=0.6 |
12.1% | -18.8% | 0.88 | 0.64 | 2.1x | 52 | 64% |
| Supertrend period=29, mult=3.2 |
13.4% | -31.0% | 0.87 | 0.43 | 2.3x | 72 | 67% |
| Parabolic SAR step=0.01, maxStep=0.16 |
8.3% | -28.6% | 0.61 | 0.29 | 1.7x | 88 | 63% |
| ADX / DI 방향성 period=20, threshold=29 |
1.9% | -8.3% | 0.42 | 0.23 | 1.1x | 8 | 8% |
| MACD fast=19, slow=27, signal=18 |
4.7% | -33.1% | 0.40 | 0.14 | 1.4x | 86 | 51% |
| Buy and hold | 19.0% | -31.3% | 0.85 | 0.61 | 3.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 24-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 24-day average falls below the 203-day average