Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Expanded Tech-Software Sector ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Expanded Tech-Software Sector 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 9.0%, MDD -37.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -62.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -37.9%, Sharpe 0.56, 75% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 24.4%p (CAGR 9.0%, MDD -37.9%, exposure 75%).
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=38, exitN=63 |
9.0% | -37.9% | 0.56 | 0.24 | 8.7x | 53 | 75% |
| SMA 크로스오버 fast=29, slow=207 |
7.8% | -30.4% | 0.51 | 0.25 | 6.5x | 37 | 73% |
| EMA 크로스오버 fast=25, slow=177 |
7.3% | -46.0% | 0.49 | 0.16 | 5.9x | 43 | 74% |
| Supertrend period=26, mult=4.4 |
5.0% | -32.2% | 0.38 | 0.16 | 3.4x | 121 | 60% |
| ROC 모멘텀 n=127, threshold=-0.02 |
5.0% | -43.7% | 0.36 | 0.11 | 3.4x | 151 | 76% |
| Parabolic SAR step=0.02, maxStep=0.02 |
4.5% | -29.5% | 0.34 | 0.15 | 3.0x | 153 | 65% |
| Keltner 채널 돌파 emaPeriod=93, atrPeriod=11, mult=1.8 |
3.7% | -39.2% | 0.31 | 0.09 | 2.5x | 131 | 61% |
| 볼린저 밴드 돌파 n=49, k=1.6 |
1.0% | -42.6% | 0.14 | 0.02 | 1.3x | 159 | 46% |
| ADX / DI 방향성 period=25, threshold=28 |
0.3% | -14.5% | 0.11 | 0.02 | 1.1x | 18 | 3% |
| MACD fast=19, slow=49, signal=16 |
-3.2% | -77.6% | -0.11 | -0.04 | 0.4x | 307 | 51% |
| Buy and hold | 9.9% | -62.4% | 0.49 | 0.16 | 10.8x | 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 38 days
- Sell — Sell when price breaks below the lowest low of the last 63 days