Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Broker-Dealers & Securities Exchanges ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Broker-Dealers & Securities Exchanges ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.0%, MDD -31.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.6%, drawdown -75.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.1%, MDD -33.9%, Sharpe 0.52, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 7.0%, MDD -31.9%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=9, slow=79 |
7.1% | -33.9% | 0.52 | 0.21 | 4.0x | 83 | 64% |
| SMA 크로스오버 fast=34, slow=77 |
7.0% | -31.9% | 0.49 | 0.22 | 3.9x | 65 | 62% |
| Supertrend period=26, mult=4.7 |
6.1% | -34.5% | 0.46 | 0.18 | 3.3x | 79 | 57% |
| Donchian 채널 돌파 entryN=97, exitN=62 |
5.5% | -34.6% | 0.45 | 0.16 | 3.0x | 33 | 51% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.6% | -2.5% | 0.45 | 0.23 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=131, threshold=-0.02 |
5.4% | -44.1% | 0.42 | 0.12 | 2.9x | 125 | 65% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=28, mult=2.5 |
2.8% | -36.6% | 0.30 | 0.08 | 1.8x | 106 | 39% |
| ADX / DI 방향성 period=24, threshold=23 |
1.2% | -15.7% | 0.24 | 0.07 | 1.3x | 40 | 11% |
| MACD fast=29, slow=37, signal=21 |
-0.3% | -54.0% | 0.07 | -0.01 | 0.9x | 186 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.6% | -59.7% | 0.05 | -0.01 | 0.9x | 193 | 59% |
| Buy and hold | 6.6% | -75.7% | 0.37 | 0.09 | 3.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 79-day EMA
- Sell — Sell when the 9-day EMA falls below the 79-day EMA