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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.7%, MDD -25.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.0%, drawdown -78.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -25.7%, Sharpe 0.59, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 8.7%, MDD -25.7%, exposure 85%).
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=57, exitN=139 |
8.7% | -25.7% | 0.59 | 0.34 | 5.5x | 13 | 85% |
| ROC 모멘텀 n=122, threshold=-0.08 |
7.3% | -38.3% | 0.51 | 0.19 | 4.2x | 57 | 84% |
| SMA 크로스오버 fast=42, slow=184 |
5.7% | -29.1% | 0.45 | 0.20 | 3.1x | 29 | 68% |
| EMA 크로스오버 fast=58, slow=72 |
5.3% | -26.0% | 0.43 | 0.21 | 2.9x | 33 | 70% |
| Supertrend period=10, mult=5 |
2.7% | -28.3% | 0.26 | 0.10 | 1.7x | 80 | 55% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
0.2% | -7.9% | 0.10 | 0.03 | 1.0x | 6 | 2% |
| ADX / DI 방향성 period=32, threshold=24 |
-0.1% | -6.4% | -0.04 | -0.02 | 1.0x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=29, mult=2.1 |
-1.4% | -49.9% | -0.07 | -0.03 | 0.8x | 140 | 41% |
| MACD fast=15, slow=51, signal=10 |
-3.7% | -60.4% | -0.14 | -0.06 | 0.5x | 302 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.5% | -65.6% | -0.19 | -0.07 | 0.4x | 290 | 59% |
| Buy and hold | 5.0% | -78.0% | 0.32 | 0.06 | 2.7x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 139 days