Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Telecommunications ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Telecommunications ETF. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -6.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -79.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.6%, MDD -43.8%, Sharpe 0.33, 68% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 0.0%, MDD -6.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=187, threshold=-0.05 |
3.6% | -43.8% | 0.33 | 0.08 | 2.5x | 99 | 68% |
| SMA 크로스오버 fast=43, slow=196 |
3.0% | -40.9% | 0.29 | 0.07 | 2.2x | 35 | 58% |
| EMA 크로스오버 fast=57, slow=160 |
2.7% | -42.3% | 0.28 | 0.06 | 2.0x | 31 | 57% |
| Donchian 채널 돌파 entryN=44, exitN=57 |
1.9% | -54.1% | 0.21 | 0.03 | 1.6x | 54 | 57% |
| 볼린저 밴드 돌파 n=38, k=3.1 |
0.5% | -6.6% | 0.20 | 0.08 | 1.1x | 8 | 3% |
| Supertrend period=15, mult=5 |
-0.2% | -47.4% | 0.04 | -0.00 | 1.0x | 86 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=1.7 |
-0.1% | -59.1% | 0.04 | -0.00 | 1.0x | 150 | 40% |
| ADX / DI 방향성 period=24, threshold=35 |
0.0% | -6.5% | 0.01 | 0.00 | 1.0x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.0% | -82.1% | -0.29 | -0.06 | 0.3x | 242 | 56% |
| MACD fast=18, slow=22, signal=17 |
-7.9% | -89.4% | -0.48 | -0.09 | 0.1x | 382 | 52% |
| Buy and hold | -1.2% | -79.5% | 0.06 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 187-day return is greater than -5%
- Sell — Sell when the 187-day return drops to -5% or below