Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Oil Equipment & Services ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Oil Equipment & Services ETF. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -16.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.1%, drawdown -93.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -63.3%, Sharpe 0.32, 78% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 0.6%, MDD -16.4%, exposure 3%).
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=18, exitN=78 |
5.2% | -63.3% | 0.32 | 0.08 | 2.8x | 50 | 78% |
| SMA 크로스오버 fast=44, slow=54 |
2.1% | -58.4% | 0.21 | 0.04 | 1.5x | 128 | 53% |
| ROC 모멘텀 n=86, threshold=0.05 |
1.9% | -62.2% | 0.20 | 0.03 | 1.5x | 236 | 43% |
| Supertrend period=26, mult=3.4 |
1.6% | -59.2% | 0.18 | 0.03 | 1.4x | 124 | 50% |
| 볼린저 밴드 돌파 n=41, k=1.7 |
1.7% | -45.1% | 0.18 | 0.04 | 1.4x | 112 | 35% |
| ADX / DI 방향성 period=38, threshold=23 |
0.6% | -16.4% | 0.16 | 0.04 | 1.1x | 6 | 3% |
| MACD fast=7, slow=55, signal=19 |
0.1% | -72.9% | 0.14 | 0.00 | 1.0x | 289 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.1% | -70.0% | 0.13 | 0.00 | 1.0x | 181 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=2.1 |
0.7% | -61.8% | 0.13 | 0.01 | 1.2x | 106 | 35% |
| EMA 크로스오버 fast=31, slow=125 |
0.1% | -63.4% | 0.11 | 0.00 | 1.0x | 45 | 50% |
| Buy and hold | -3.1% | -93.5% | 0.12 | -0.03 | 0.5x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 78 days