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 Supertrend (CAGR 6.2%, MDD -33.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.2%, drawdown -75.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -37.0%, Sharpe 0.50, 64% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 6.2%, MDD -33.6%, exposure 57%).
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=7, slow=97 |
6.8% | -37.0% | 0.50 | 0.18 | 3.8x | 86 | 64% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=3.3 |
1.7% | -12.4% | 0.47 | 0.14 | 1.4x | 24 | 5% |
| Supertrend period=27, mult=4.7 |
6.2% | -33.6% | 0.47 | 0.18 | 3.4x | 80 | 57% |
| ROC 모멘텀 n=114, threshold=0.03 |
5.8% | -38.0% | 0.47 | 0.15 | 3.1x | 146 | 56% |
| SMA 크로스오버 fast=59, slow=162 |
6.5% | -41.4% | 0.45 | 0.16 | 3.6x | 29 | 63% |
| Donchian 채널 돌파 entryN=127, exitN=56 |
5.2% | -29.2% | 0.45 | 0.18 | 2.8x | 32 | 48% |
| 볼린저 밴드 돌파 n=16, k=3.3 |
0.6% | -2.5% | 0.44 | 0.23 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=35, threshold=22 |
0.9% | -12.8% | 0.22 | 0.07 | 1.2x | 20 | 8% |
| MACD fast=29, slow=39, signal=24 |
-0.0% | -53.5% | 0.09 | -0.00 | 1.0x | 180 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.5% | -59.7% | 0.06 | -0.01 | 0.9x | 188 | 60% |
| Buy and hold | 6.2% | -75.7% | 0.35 | 0.08 | 3.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 97-day EMA
- Sell — Sell when the 7-day EMA falls below the 97-day EMA