Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI USA Value Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI USA Value Factor ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.4%, MDD -29.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -39.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -9.0%, Sharpe 0.68, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.4%, MDD -29.7%, exposure 87%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.4%p lower than buy and hold, while drawdown improves by 30.4%p (CAGR 8.4%, MDD -29.7%, exposure 87%).
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=31, threshold=16 |
4.6% | -9.0% | 0.68 | 0.51 | 1.8x | 40 | 23% |
| EMA 크로스오버 fast=48, slow=101 |
7.6% | -35.1% | 0.64 | 0.22 | 2.7x | 21 | 72% |
| SMA 크로스오버 fast=14, slow=211 |
7.1% | -32.0% | 0.62 | 0.22 | 2.5x | 31 | 66% |
| Donchian 채널 돌파 entryN=20, exitN=76 |
8.4% | -29.7% | 0.62 | 0.28 | 2.9x | 29 | 87% |
| 볼린저 밴드 돌파 n=52, k=2.2 |
3.0% | -21.3% | 0.42 | 0.14 | 1.5x | 30 | 24% |
| ROC 모멘텀 n=120, threshold=-0.03 |
4.2% | -40.8% | 0.38 | 0.10 | 1.7x | 99 | 77% |
| Supertrend period=27, mult=3.5 |
3.7% | -23.9% | 0.36 | 0.15 | 1.6x | 98 | 64% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=3 |
1.5% | -28.7% | 0.22 | 0.05 | 1.2x | 58 | 30% |
| MACD fast=15, slow=22, signal=18 |
0.7% | -39.1% | 0.11 | 0.02 | 1.1x | 199 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.5% | -39.9% | 0.10 | 0.01 | 1.1x | 129 | 61% |
| Buy and hold | 11.1% | -39.5% | 0.65 | 0.28 | 4.1x | 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, 31-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)