Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Fundamental U.S. Broad Market ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Fundamental U.S. Broad Market ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.1%, MDD -19.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -38.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -19.3%, Sharpe 0.76, 88% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.7%, MDD -33.6%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 9.1%, MDD -19.3%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=77 |
9.1% | -19.3% | 0.76 | 0.47 | 3.1x | 21 | 88% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.11 |
10.7% | -33.6% | 0.73 | 0.32 | 3.7x | 11 | 100% |
| EMA 크로스오버 fast=46, slow=117 |
7.9% | -23.4% | 0.71 | 0.34 | 2.7x | 15 | 79% |
| SMA 크로스오버 fast=21, slow=184 |
7.2% | -22.3% | 0.66 | 0.32 | 2.4x | 17 | 75% |
| Supertrend period=20, mult=4.9 |
4.2% | -19.9% | 0.45 | 0.21 | 1.7x | 55 | 68% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=37, mult=3.6 |
2.0% | -14.3% | 0.41 | 0.14 | 1.3x | 23 | 19% |
| 볼린저 밴드 돌파 n=30, k=3.2 |
1.0% | -8.3% | 0.34 | 0.12 | 1.1x | 6 | 5% |
| ADX / DI 방향성 period=33, threshold=18 |
0.9% | -9.2% | 0.27 | 0.10 | 1.1x | 16 | 9% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.2% | -27.9% | 0.07 | 0.01 | 1.0x | 131 | 63% |
| MACD fast=14, slow=34, signal=18 |
-0.5% | -30.5% | -0.00 | -0.01 | 0.9x | 174 | 50% |
| Buy and hold | 10.8% | -38.2% | 0.70 | 0.28 | 3.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 24 days
- Sell — Sell when price breaks below the lowest low of the last 77 days