Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Industrials ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Industrials ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.0%, MDD -29.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -63.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.0%, MDD -29.3%, Sharpe 0.47, 81% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 34.6%p (CAGR 6.0%, MDD -29.3%, exposure 81%).
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=53, threshold=-0.04 |
6.0% | -29.3% | 0.47 | 0.21 | 3.2x | 119 | 81% |
| EMA 크로스오버 fast=35, slow=82 |
5.1% | -31.2% | 0.45 | 0.16 | 2.7x | 45 | 70% |
| SMA 크로스오버 fast=12, slow=216 |
4.7% | -24.7% | 0.43 | 0.19 | 2.5x | 39 | 68% |
| Supertrend period=10, mult=4 |
3.4% | -24.2% | 0.34 | 0.14 | 2.0x | 119 | 60% |
| Donchian 채널 돌파 entryN=32, exitN=79 |
4.2% | -63.1% | 0.34 | 0.07 | 2.3x | 39 | 82% |
| Parabolic SAR step=0.02, maxStep=0.02 |
2.3% | -32.1% | 0.24 | 0.07 | 1.6x | 112 | 68% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=4 |
1.4% | -16.8% | 0.21 | 0.08 | 1.3x | 62 | 34% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
0.1% | -2.7% | 0.10 | 0.04 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=38, threshold=19 |
0.1% | -12.2% | 0.04 | 0.01 | 1.0x | 26 | 8% |
| MACD fast=18, slow=23, signal=17 |
-1.0% | -39.9% | -0.01 | -0.03 | 0.8x | 276 | 50% |
| Buy and hold | 7.0% | -63.9% | 0.43 | 0.11 | 3.8x | 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 53-day return is greater than -4%
- Sell — Sell when the 53-day return drops to -4% or below