Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core 60/40 Balanced Allocation ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core 60/40 Balanced Allocation ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -25.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.2%, MDD -23.4%, Sharpe 0.60, 100% 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 100% n=7, threshold=-0.09 |
6.2% | -23.4% | 0.60 | 0.27 | 2.9x | 7 | 100% |
| ADX / DI 방향성 period=37, threshold=30 |
1.7% | -5.5% | 0.56 | 0.31 | 1.4x | 2 | 3% |
| EMA 크로스오버 fast=53, slow=82 |
4.1% | -12.6% | 0.56 | 0.33 | 2.0x | 27 | 74% |
| Donchian 채널 돌파 entryN=19, exitN=66 |
4.1% | -17.4% | 0.54 | 0.24 | 2.1x | 41 | 81% |
| SMA 크로스오버 fast=18, slow=131 |
2.8% | -13.0% | 0.41 | 0.22 | 1.6x | 39 | 72% |
| Supertrend period=23, mult=4.9 |
2.4% | -17.2% | 0.33 | 0.14 | 1.5x | 65 | 68% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=16, mult=3.8 |
-0.2% | -17.5% | -0.01 | -0.01 | 1.0x | 60 | 45% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.1% | -34.9% | -0.07 | -0.03 | 0.8x | 170 | 63% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
-0.1% | -2.9% | -0.14 | -0.04 | 1.0x | 2 | 1% |
| MACD fast=12, slow=57, signal=19 |
-4.2% | -62.3% | -0.59 | -0.07 | 0.5x | 242 | 52% |
| Buy and hold | 6.3% | -25.0% | 0.55 | 0.25 | 3.0x | 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 7-day return is greater than -9%
- Sell — Sell when the 7-day return drops to -9% or below