Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Mortgage Real Estate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Mortgage Real Estate ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.0%, drawdown -92.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -0.5%, Sharpe 0.21, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 92.4%p (CAGR 0.4%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=26 |
0.4% | -0.5% | 0.21 | 0.81 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=21, k=3 |
0.3% | -6.5% | 0.12 | 0.04 | 1.0x | 6 | 1% |
| Donchian 채널 돌파 entryN=102, exitN=71 |
-0.4% | -27.4% | 0.00 | -0.02 | 0.9x | 22 | 40% |
| ROC 모멘텀 n=119, threshold=0.14 |
-0.3% | -32.3% | -0.02 | -0.01 | 0.9x | 54 | 7% |
| SMA 크로스오버 fast=9, slow=175 |
-3.1% | -53.9% | -0.23 | -0.06 | 0.5x | 60 | 44% |
| Supertrend period=17, mult=5 |
-4.2% | -57.1% | -0.27 | -0.07 | 0.4x | 69 | 42% |
| EMA 크로스오버 fast=28, slow=48 |
-3.9% | -58.1% | -0.27 | -0.07 | 0.5x | 68 | 47% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=3 |
-2.5% | -47.4% | -0.30 | -0.05 | 0.6x | 60 | 20% |
| MACD fast=19, slow=25, signal=17 |
-9.6% | -86.7% | -0.49 | -0.11 | 0.1x | 260 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-9.6% | -88.0% | -0.51 | -0.11 | 0.1x | 262 | 52% |
| Buy and hold | -11.0% | -92.9% | -0.26 | -0.12 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)