Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core 30/70 Conservative Allocation ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core 30/70 Conservative Allocation ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.9%, drawdown -20.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.6%, MDD -17.1%, Sharpe 0.50, 93% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=157, threshold=-0.07 |
2.6% | -17.1% | 0.50 | 0.15 | 1.6x | 11 | 93% |
| Donchian 채널 돌파 entryN=59, exitN=51 |
1.3% | -7.3% | 0.32 | 0.18 | 1.3x | 31 | 65% |
| EMA 크로스오버 fast=48, slow=172 |
1.3% | -17.5% | 0.29 | 0.07 | 1.3x | 17 | 75% |
| SMA 크로스오버 fast=55, slow=175 |
1.1% | -14.7% | 0.26 | 0.07 | 1.2x | 25 | 69% |
| Supertrend period=32, mult=5 |
0.5% | -12.9% | 0.12 | 0.04 | 1.1x | 55 | 68% |
| ADX / DI 방향성 period=27, threshold=21 |
-0.4% | -13.9% | -0.12 | -0.03 | 0.9x | 50 | 17% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=15, mult=4 |
-0.1% | -6.0% | -0.12 | -0.02 | 1.0x | 8 | 3% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
-0.2% | -4.3% | -0.13 | -0.05 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.1% | -43.1% | -0.54 | -0.07 | 0.6x | 158 | 60% |
| MACD fast=18, slow=39, signal=19 |
-4.7% | -60.4% | -1.07 | -0.08 | 0.4x | 214 | 50% |
| Buy and hold | 2.9% | -20.4% | 0.42 | 0.14 | 1.7x | 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 157-day return is greater than -7%
- Sell — Sell when the 157-day return drops to -7% or below