Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Genomics Immunology and Healthcare ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Genomics Immunology and Healthcare ETF. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.1%, MDD -16.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.8%, drawdown -68.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.0%, MDD -26.2%, Sharpe 0.78, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 5.1%, MDD -16.5%, exposure 23%).
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=50, slow=194 |
14.0% | -26.2% | 0.78 | 0.53 | 2.5x | 5 | 49% |
| SMA 크로스오버 fast=20, slow=208 |
11.5% | -22.2% | 0.68 | 0.52 | 2.2x | 7 | 48% |
| ROC 모멘텀 n=191, threshold=0.1 |
9.9% | -22.2% | 0.65 | 0.44 | 2.0x | 21 | 35% |
| Supertrend period=29, mult=4.6 |
10.2% | -25.8% | 0.59 | 0.39 | 2.0x | 23 | 53% |
| Donchian 채널 돌파 entryN=81, exitN=69 |
7.6% | -31.4% | 0.48 | 0.24 | 1.7x | 9 | 48% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=3.8 |
5.1% | -16.5% | 0.46 | 0.31 | 1.4x | 13 | 23% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
2.8% | -25.8% | 0.32 | 0.11 | 1.2x | 7 | 15% |
| ADX / DI 방향성 period=26, threshold=16 |
1.9% | -28.5% | 0.21 | 0.07 | 1.1x | 40 | 22% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.2% | -39.7% | 0.09 | -0.01 | 1.0x | 126 | 52% |
| MACD fast=15, slow=66, signal=15 |
-5.0% | -58.3% | -0.16 | -0.09 | 0.7x | 86 | 50% |
| Buy and hold | 3.8% | -68.7% | 0.28 | 0.06 | 1.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 194-day EMA
- Sell — Sell when the 50-day EMA falls below the 194-day EMA