Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Bloomberg Roll Select Commodity Strategy ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Bloomberg Roll Select Commodity Strategy ETF. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -10.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.8%, drawdown -33.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -21.6%, Sharpe 0.58, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 12.2%p (CAGR 3.7%, MDD -10.7%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=75, slow=331 |
6.9% | -21.6% | 0.58 | 0.32 | 1.8x | 5 | 44% |
| ROC 모멘텀 n=146, threshold=0.12 |
3.5% | -16.3% | 0.50 | 0.22 | 1.3x | 25 | 21% |
| ADX / DI 방향성 period=35, threshold=15 |
3.7% | -10.7% | 0.47 | 0.35 | 1.4x | 23 | 19% |
| EMA 크로스오버 fast=59, slow=215 |
4.7% | -28.4% | 0.42 | 0.17 | 1.5x | 9 | 44% |
| Supertrend period=20, mult=5 |
2.8% | -28.0% | 0.29 | 0.10 | 1.3x | 41 | 57% |
| Donchian 채널 돌파 entryN=19, exitN=37 |
2.0% | -38.9% | 0.22 | 0.05 | 1.2x | 37 | 65% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=27, mult=1.4 |
1.4% | -31.0% | 0.18 | 0.04 | 1.1x | 49 | 45% |
| 볼린저 밴드 돌파 n=26, k=1 |
0.7% | -31.0% | 0.12 | 0.02 | 1.1x | 90 | 45% |
| MACD fast=21, slow=37, signal=19 |
0.7% | -40.2% | 0.12 | 0.02 | 1.1x | 86 | 53% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.5% | -50.8% | 0.02 | -0.01 | 1.0x | 68 | 59% |
| Buy and hold | 2.8% | -33.8% | 0.25 | 0.08 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 75-day average price crosses above the 331-day average
- Sell — Sell (to cash) when the 75-day average falls below the 331-day average