Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares International Select Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of iShares International Select Dividend ETF. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -12.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.7%, drawdown -72.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.0%, MDD -32.1%, Sharpe 0.30, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR -0.0%, MDD -12.7%, exposure 3%).
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=23, slow=139 |
3.0% | -32.1% | 0.30 | 0.09 | 1.8x | 44 | 54% |
| Donchian 채널 돌파 entryN=55, exitN=55 |
2.8% | -33.0% | 0.28 | 0.08 | 1.7x | 38 | 54% |
| EMA 크로스오버 fast=45, slow=76 |
2.5% | -29.4% | 0.26 | 0.08 | 1.6x | 43 | 54% |
| ROC 모멘텀 n=75, threshold=0.14 |
1.4% | -22.2% | 0.25 | 0.06 | 1.3x | 64 | 9% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=3.9 |
1.2% | -29.9% | 0.19 | 0.04 | 1.3x | 44 | 25% |
| Supertrend period=29, mult=4.8 |
0.1% | -50.3% | 0.07 | 0.00 | 1.0x | 85 | 56% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
-0.1% | -53.1% | 0.05 | -0.00 | 1.0x | 100 | 41% |
| ADX / DI 방향성 period=38, threshold=20 |
-0.0% | -12.7% | 0.02 | -0.00 | 1.0x | 16 | 3% |
| MACD fast=17, slow=26, signal=18 |
-4.6% | -71.9% | -0.26 | -0.06 | 0.4x | 253 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.9% | -84.2% | -0.43 | -0.08 | 0.3x | 335 | 54% |
| Buy and hold | -0.7% | -72.8% | 0.08 | -0.01 | 0.9x | 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 23-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 23-day average falls below the 139-day average