Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core 80/20 Aggressive Allocation ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core 80/20 Aggressive Allocation ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -14.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -28.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -14.9%, Sharpe 0.65, 77% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.8%, MDD -26.7%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 13.4%p (CAGR 6.4%, MDD -14.9%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=53, exitN=76 |
6.4% | -14.9% | 0.65 | 0.43 | 3.0x | 25 | 77% |
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.07 |
8.8% | -26.7% | 0.64 | 0.33 | 4.5x | 15 | 100% |
| EMA 크로스오버 fast=50, slow=77 |
6.0% | -21.5% | 0.63 | 0.28 | 2.8x | 29 | 75% |
| SMA 크로스오버 fast=43, slow=118 |
5.5% | -24.5% | 0.57 | 0.23 | 2.6x | 33 | 73% |
| ADX / DI 방향성 period=40, threshold=17 |
2.8% | -14.7% | 0.47 | 0.19 | 1.6x | 22 | 15% |
| Supertrend period=17, mult=4.7 |
4.0% | -23.9% | 0.43 | 0.17 | 2.0x | 73 | 67% |
| Keltner 채널 돌파 emaPeriod=116, atrPeriod=11, mult=3.1 |
2.1% | -21.8% | 0.28 | 0.10 | 1.4x | 61 | 60% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.3% | -26.9% | 0.27 | 0.08 | 1.5x | 83 | 69% |
| 볼린저 밴드 돌파 n=35, k=3 |
0.2% | -1.9% | 0.21 | 0.11 | 1.0x | 4 | 3% |
| MACD fast=31, slow=65, signal=31 |
0.2% | -31.7% | 0.06 | 0.00 | 1.0x | 138 | 52% |
| Buy and hold | 7.8% | -28.4% | 0.57 | 0.28 | 3.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 53 days
- Sell — Sell when price breaks below the lowest low of the last 76 days