Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares North American Natural Resources ETF backtest
10 trend-following strategies were compared on the full daily history of iShares North American Natural Resources ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -30.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.7%, drawdown -73.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -30.9%, Sharpe 0.53, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 8.0%, MDD -30.9%, exposure 64%).
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=46, slow=232 |
8.0% | -30.9% | 0.53 | 0.26 | 6.6x | 25 | 64% |
| EMA 크로스오버 fast=53, slow=200 |
5.8% | -44.3% | 0.41 | 0.13 | 4.0x | 27 | 65% |
| Donchian 채널 돌파 entryN=16, exitN=79 |
4.7% | -47.9% | 0.33 | 0.10 | 3.1x | 63 | 84% |
| ROC 모멘텀 n=83, threshold=-0.04 |
2.6% | -52.9% | 0.23 | 0.05 | 1.9x | 220 | 74% |
| Supertrend period=14, mult=3.5 |
2.4% | -42.5% | 0.23 | 0.06 | 1.8x | 167 | 55% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
0.9% | -21.4% | 0.18 | 0.04 | 1.2x | 38 | 8% |
| MACD fast=7, slow=35, signal=19 |
0.1% | -67.7% | 0.09 | 0.00 | 1.0x | 399 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=16, mult=4 |
0.1% | -42.7% | 0.06 | 0.00 | 1.0x | 64 | 22% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.5% | -58.2% | 0.06 | -0.01 | 0.9x | 221 | 54% |
| ADX / DI 방향성 period=12, threshold=34 |
-0.8% | -30.5% | -0.14 | -0.02 | 0.8x | 64 | 6% |
| Buy and hold | 5.7% | -73.5% | 0.34 | 0.08 | 3.9x | 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 46-day average price crosses above the 232-day average
- Sell — Sell (to cash) when the 46-day average falls below the 232-day average