Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Fundamental Emerging Markets Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Fundamental Emerging Markets Equity ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.5%, MDD -31.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -45.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.6%, MDD -32.8%, Sharpe 0.34, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 12.6%p (CAGR 3.5%, MDD -31.4%, exposure 61%).
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=90, exitN=70 |
3.6% | -32.8% | 0.34 | 0.11 | 1.6x | 17 | 57% |
| SMA 크로스오버 fast=43, slow=128 |
3.5% | -31.4% | 0.32 | 0.11 | 1.6x | 23 | 61% |
| ROC 모멘텀 n=118, threshold=-0.03 |
1.8% | -42.3% | 0.20 | 0.04 | 1.3x | 75 | 68% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
0.8% | -11.4% | 0.19 | 0.07 | 1.1x | 12 | 6% |
| EMA 크로스오버 fast=14, slow=141 |
1.2% | -44.2% | 0.16 | 0.03 | 1.2x | 37 | 61% |
| ADX / DI 방향성 period=32, threshold=35 |
0.0% | -0.5% | 0.09 | 0.04 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=4 |
-0.5% | -12.5% | -0.19 | -0.04 | 0.9x | 8 | 1% |
| Supertrend period=15, mult=5 |
-3.2% | -55.6% | -0.19 | -0.06 | 0.7x | 68 | 55% |
| MACD fast=11, slow=37, signal=19 |
-4.3% | -51.6% | -0.29 | -0.08 | 0.6x | 191 | 48% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-6.1% | -61.1% | -0.41 | -0.10 | 0.4x | 297 | 56% |
| Buy and hold | 4.0% | -45.4% | 0.30 | 0.09 | 1.7x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 70 days