Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Industrials ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Industrials ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.2%, MDD -33.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -62.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -35.0%, Sharpe 0.51, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 6.2%, MDD -33.4%, exposure 72%).
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=45, slow=212 |
6.3% | -35.0% | 0.51 | 0.18 | 4.9x | 25 | 71% |
| EMA 크로스오버 fast=81, slow=159 |
6.2% | -33.4% | 0.51 | 0.19 | 4.9x | 17 | 72% |
| Donchian 채널 돌파 entryN=48, exitN=55 |
4.9% | -28.1% | 0.44 | 0.17 | 3.5x | 56 | 68% |
| ROC 모멘텀 n=149, threshold=-0.04 |
4.5% | -33.6% | 0.39 | 0.13 | 3.1x | 113 | 77% |
| Supertrend period=26, mult=5 |
3.5% | -40.0% | 0.33 | 0.09 | 2.5x | 104 | 65% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
0.1% | -2.6% | 0.21 | 0.05 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=0.8 |
0.7% | -31.9% | 0.11 | 0.02 | 1.2x | 262 | 59% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.5% | -33.3% | 0.03 | -0.01 | 0.9x | 254 | 60% |
| MACD fast=14, slow=31, signal=17 |
-1.6% | -48.0% | -0.06 | -0.03 | 0.6x | 370 | 50% |
| ADX / DI 방향성 period=24, threshold=29 |
-0.2% | -15.0% | -0.08 | -0.01 | 1.0x | 10 | 2% |
| Buy and hold | 6.3% | -62.8% | 0.40 | 0.10 | 5.0x | 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 45-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 45-day average falls below the 212-day average