Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Insurance ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Insurance ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -26.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.4%, drawdown -78.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -41.7%, Sharpe 0.46, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.1%, MDD -37.2%, exposure 77%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 5.7%, MDD -26.1%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=71, slow=143 |
5.9% | -41.7% | 0.46 | 0.14 | 3.2x | 35 | 67% |
| EMA 크로스오버 fast=55, slow=76 |
5.7% | -26.1% | 0.45 | 0.22 | 3.1x | 35 | 70% |
| ROC 모멘텀 n=104, threshold=-0.06 |
6.1% | -30.9% | 0.45 | 0.20 | 3.3x | 111 | 82% |
| Donchian 채널 돌파 entryN=31, exitN=77 |
6.1% | -37.2% | 0.44 | 0.16 | 3.3x | 37 | 77% |
| Supertrend period=14, mult=5 |
3.1% | -30.6% | 0.28 | 0.10 | 1.9x | 79 | 57% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
0.3% | -11.3% | 0.11 | 0.02 | 1.1x | 7 | 3% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=2.1 |
-1.3% | -45.9% | -0.05 | -0.03 | 0.8x | 141 | 43% |
| ADX / DI 방향성 period=38, threshold=23 |
-0.1% | -7.7% | -0.14 | -0.02 | 1.0x | 6 | 1% |
| MACD fast=9, slow=52, signal=16 |
-3.9% | -63.4% | -0.16 | -0.06 | 0.4x | 303 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.4% | -65.6% | -0.18 | -0.07 | 0.4x | 289 | 60% |
| Buy and hold | 5.4% | -78.0% | 0.33 | 0.07 | 2.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 71-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 71-day average falls below the 143-day average