Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Transportation ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Transportation ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.0%, MDD -31.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -60.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -31.3%, Sharpe 0.52, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.6%, MDD -42.1%, exposure 92%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 29.4%p (CAGR 7.0%, MDD -31.3%, 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=38, slow=96 |
7.0% | -31.3% | 0.52 | 0.22 | 4.6x | 53 | 64% |
| ROC 모멘텀 n=52, threshold=-0.11 |
7.6% | -42.1% | 0.47 | 0.18 | 5.3x | 71 | 92% |
| EMA 크로스오버 fast=43, slow=210 |
5.0% | -31.4% | 0.38 | 0.16 | 3.0x | 31 | 70% |
| Donchian 채널 돌파 entryN=37, exitN=78 |
5.1% | -42.5% | 0.38 | 0.12 | 3.1x | 43 | 75% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
0.4% | -4.3% | 0.24 | 0.10 | 1.1x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=3.8 |
0.3% | -3.8% | 0.23 | 0.07 | 1.1x | 2 | 1% |
| Supertrend period=23, mult=5 |
2.1% | -33.7% | 0.21 | 0.06 | 1.6x | 87 | 60% |
| ADX / DI 방향성 period=16, threshold=38 |
0.5% | -8.9% | 0.20 | 0.05 | 1.1x | 10 | 2% |
| Parabolic SAR step=0.01, maxStep=0.08 |
0.7% | -43.9% | 0.13 | 0.02 | 1.2x | 302 | 58% |
| MACD fast=17, slow=45, signal=13 |
-3.7% | -72.7% | -0.16 | -0.05 | 0.4x | 320 | 52% |
| Buy and hold | 8.4% | -60.7% | 0.46 | 0.14 | 6.2x | 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 38-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 38-day average falls below the 96-day average