Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Expanded Tech Sector ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Expanded Tech Sector 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 10.5%, MDD -31.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -65.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -31.4%, Sharpe 0.69, 71% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.3%, MDD -38.2%, exposure 82%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 34.2%p (CAGR 10.5%, MDD -31.4%, exposure 71%).
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=34, slow=190 |
10.5% | -31.4% | 0.69 | 0.33 | 12.5x | 35 | 71% |
| Donchian 채널 돌파 entryN=47, exitN=117 |
11.3% | -38.2% | 0.68 | 0.29 | 15.0x | 29 | 82% |
| EMA 크로스오버 fast=7, slow=176 |
9.8% | -35.1% | 0.66 | 0.28 | 10.6x | 67 | 73% |
| ROC 모멘텀 n=129, threshold=-0.01 |
8.5% | -40.4% | 0.59 | 0.21 | 7.9x | 141 | 73% |
| Supertrend period=17, mult=4.9 |
8.0% | -39.8% | 0.58 | 0.20 | 7.0x | 100 | 61% |
| Parabolic SAR step=0.005, maxStep=0.06 |
6.1% | -47.6% | 0.44 | 0.13 | 4.5x | 226 | 62% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=2.1 |
4.8% | -37.7% | 0.43 | 0.13 | 3.3x | 158 | 52% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
4.2% | -31.2% | 0.39 | 0.14 | 2.9x | 156 | 51% |
| ADX / DI 방향성 period=41, threshold=11 |
2.7% | -36.5% | 0.29 | 0.07 | 1.9x | 172 | 34% |
| MACD fast=17, slow=51, signal=17 |
-0.5% | -55.2% | 0.04 | -0.01 | 0.9x | 304 | 52% |
| Buy and hold | 11.9% | -65.6% | 0.57 | 0.18 | 17.2x | 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 34-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 34-day average falls below the 190-day average