Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Infrastructure ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.8%, MDD -28.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -41.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -28.5%, Sharpe 0.64, 86% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 12.5%p (CAGR 9.8%, MDD -28.5%, exposure 86%).
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=20, exitN=87 |
9.8% | -28.5% | 0.64 | 0.34 | 2.2x | 15 | 86% |
| ROC 모멘텀 n=45, threshold=-0.11 |
8.1% | -28.6% | 0.53 | 0.28 | 1.9x | 23 | 94% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
2.7% | -7.0% | 0.48 | 0.39 | 1.2x | 6 | 12% |
| EMA 크로스오버 fast=18, slow=41 |
3.9% | -26.3% | 0.34 | 0.15 | 1.4x | 36 | 68% |
| SMA 크로스오버 fast=51, slow=218 |
4.2% | -36.3% | 0.34 | 0.12 | 1.4x | 9 | 70% |
| Supertrend period=15, mult=4.9 |
3.2% | -29.3% | 0.30 | 0.11 | 1.3x | 35 | 65% |
| MACD fast=14, slow=30, signal=13 |
3.0% | -22.0% | 0.29 | 0.14 | 1.3x | 118 | 49% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.6% | -19.2% | 0.25 | 0.13 | 1.2x | 72 | 60% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=20, mult=0.7 |
0.9% | -28.6% | 0.13 | 0.03 | 1.1x | 84 | 63% |
| ADX / DI 방향성 period=39, threshold=11 |
-0.6% | -22.5% | 0.00 | -0.03 | 1.0x | 58 | 39% |
| Buy and hold | 10.8% | -41.1% | 0.59 | 0.26 | 2.3x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 87 days