Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Utilities ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Utilities ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.7%, MDD -36.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -56.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.7%, MDD -36.2%, Sharpe 0.34, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 20.2%p (CAGR 3.7%, MDD -36.2%, exposure 67%).
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=54, slow=194 |
3.7% | -36.2% | 0.34 | 0.10 | 2.6x | 33 | 67% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=14, mult=3.7 |
0.5% | -6.1% | 0.29 | 0.09 | 1.1x | 6 | 1% |
| ROC 모멘텀 n=100, threshold=-0.11 |
3.3% | -48.1% | 0.29 | 0.07 | 2.3x | 69 | 91% |
| EMA 크로스오버 fast=42, slow=199 |
2.9% | -42.5% | 0.28 | 0.07 | 2.1x | 30 | 71% |
| Donchian 채널 돌파 entryN=86, exitN=59 |
0.4% | -40.5% | 0.10 | 0.01 | 1.1x | 46 | 54% |
| ADX / DI 방향성 period=22, threshold=30 |
0.1% | -15.3% | 0.05 | 0.01 | 1.0x | 24 | 4% |
| Supertrend period=27, mult=4.3 |
-0.1% | -42.6% | 0.05 | -0.00 | 1.0x | 122 | 63% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.4% | -45.9% | -0.05 | -0.03 | 0.7x | 240 | 60% |
| 볼린저 밴드 돌파 n=16, k=2.6 |
-0.7% | -37.8% | -0.14 | -0.02 | 0.8x | 76 | 8% |
| MACD fast=23, slow=34, signal=18 |
-2.5% | -62.2% | -0.15 | -0.04 | 0.5x | 292 | 53% |
| Buy and hold | 4.4% | -56.4% | 0.33 | 0.08 | 3.1x | 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 54-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 54-day average falls below the 194-day average