Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Fundamental U.S. Large Company ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Fundamental U.S. Large Company ETF. 1 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 10.0%, MDD -20.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.0%, drawdown -37.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -20.7%, Sharpe 0.80, 93% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.0%, MDD -23.5%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 17.0%p (CAGR 10.0%, MDD -20.7%, exposure 93%).
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=12, exitN=87 |
10.0% | -20.7% | 0.80 | 0.49 | 3.5x | 21 | 93% |
| ROC 모멘텀 Hold-like · Exposure 99% n=12, threshold=-0.11 |
11.0% | -23.5% | 0.79 | 0.47 | 3.9x | 13 | 99% |
| EMA 크로스오버 fast=37, slow=115 |
7.7% | -19.0% | 0.71 | 0.40 | 2.6x | 19 | 79% |
| SMA 크로스오버 fast=20, slow=182 |
7.5% | -21.4% | 0.68 | 0.35 | 2.5x | 17 | 76% |
| Supertrend period=18, mult=4.9 |
3.7% | -20.7% | 0.42 | 0.18 | 1.6x | 55 | 66% |
| 볼린저 밴드 돌파 n=28, k=3 |
1.1% | -7.2% | 0.40 | 0.15 | 1.1x | 6 | 5% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.6% | -25.6% | 0.31 | 0.10 | 1.4x | 123 | 64% |
| ADX / DI 방향성 period=31, threshold=22 |
0.9% | -9.8% | 0.27 | 0.09 | 1.1x | 10 | 7% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=1.4 |
1.7% | -21.8% | 0.24 | 0.08 | 1.2x | 107 | 58% |
| MACD fast=22, slow=28, signal=13 |
-0.3% | -27.4% | 0.02 | -0.01 | 1.0x | 176 | 50% |
| Buy and hold | 11.0% | -37.7% | 0.71 | 0.29 | 3.9x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 87 days