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. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -28.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -24.6%, Sharpe 0.65, 84% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.9%, MDD -28.3%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=21, exitN=76 |
6.9% | -24.6% | 0.65 | 0.28 | 3.3x | 33 | 84% |
| SMA 크로스오버 fast=39, slow=116 |
5.9% | -23.2% | 0.60 | 0.25 | 2.7x | 35 | 72% |
| EMA 크로스오버 fast=46, slow=90 |
5.5% | -23.0% | 0.58 | 0.24 | 2.6x | 29 | 75% |
| ROC 모멘텀 Hold-like · Exposure 97% n=44, threshold=-0.12 |
6.9% | -28.3% | 0.56 | 0.24 | 3.3x | 25 | 97% |
| Supertrend period=16, mult=5 |
3.6% | -23.9% | 0.39 | 0.15 | 1.9x | 69 | 67% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.4% | -26.9% | 0.29 | 0.09 | 1.5x | 82 | 69% |
| ADX / DI 방향성 period=23, threshold=37 |
0.4% | -4.6% | 0.25 | 0.09 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=39, k=3.1 |
0.1% | -2.5% | 0.13 | 0.05 | 1.0x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=1.6 |
-0.6% | -42.2% | -0.03 | -0.01 | 0.9x | 146 | 59% |
| MACD fast=23, slow=31, signal=37 |
-3.1% | -55.4% | -0.31 | -0.06 | 0.6x | 186 | 51% |
| Buy and hold | 7.9% | -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 21 days
- Sell — Sell when price breaks below the lowest low of the last 76 days