Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core 40/60 Moderate Allocation ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core 40/60 Moderate Allocation ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.2%, drawdown -21.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.6%, MDD -18.7%, Sharpe 0.52, 95% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 95% n=119, threshold=-0.1 |
3.6% | -18.7% | 0.52 | 0.19 | 1.9x | 13 | 95% |
| Donchian 채널 돌파 entryN=9, exitN=72 |
2.9% | -17.3% | 0.45 | 0.17 | 1.7x | 45 | 88% |
| EMA 크로스오버 fast=52, slow=164 |
2.5% | -14.8% | 0.43 | 0.17 | 1.5x | 19 | 75% |
| ADX / DI 방향성 period=40, threshold=36 |
1.3% | -4.9% | 0.41 | 0.26 | 1.3x | 2 | 4% |
| Supertrend period=29, mult=5 |
2.1% | -15.7% | 0.34 | 0.13 | 1.4x | 49 | 72% |
| SMA 크로스오버 fast=41, slow=117 |
1.8% | -18.2% | 0.32 | 0.10 | 1.4x | 37 | 69% |
| 볼린저 밴드 돌파 n=35, k=3.2 |
-0.0% | -3.3% | -0.05 | -0.01 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.5% | -42.4% | -0.31 | -0.06 | 0.6x | 159 | 64% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=3.6 |
-1.2% | -24.3% | -0.37 | -0.05 | 0.8x | 46 | 22% |
| MACD fast=30, slow=52, signal=33 |
-2.8% | -45.6% | -0.49 | -0.06 | 0.6x | 147 | 51% |
| Buy and hold | 4.2% | -21.6% | 0.47 | 0.19 | 2.1x | 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 119-day return is greater than -10%
- Sell — Sell when the 119-day return drops to -10% or below