Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Cybersecurity and Tech ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Cybersecurity and Tech 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 12.8%, MDD -21.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.5%, drawdown -34.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -21.3%, Sharpe 0.77, 63% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.0%, MDD -26.1%, exposure 74%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 13.5%p (CAGR 12.8%, MDD -21.3%, exposure 63%).
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=9, slow=215 |
12.8% | -21.3% | 0.77 | 0.60 | 2.4x | 11 | 63% |
| ROC 모멘텀 n=188, threshold=-0.08 |
14.0% | -26.1% | 0.76 | 0.54 | 2.6x | 19 | 74% |
| EMA 크로스오버 fast=26, slow=190 |
11.7% | -19.6% | 0.72 | 0.60 | 2.2x | 7 | 62% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=4 |
5.0% | -20.7% | 0.50 | 0.24 | 1.4x | 18 | 24% |
| Donchian 채널 돌파 entryN=72, exitN=72 |
7.2% | -27.7% | 0.49 | 0.26 | 1.7x | 11 | 62% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
3.3% | -14.2% | 0.45 | 0.23 | 1.3x | 8 | 12% |
| Supertrend period=29, mult=4.9 |
5.9% | -36.3% | 0.44 | 0.16 | 1.5x | 29 | 51% |
| ADX / DI 방향성 period=39, threshold=13 |
4.8% | -19.5% | 0.43 | 0.25 | 1.4x | 23 | 22% |
| MACD fast=10, slow=28, signal=4 |
-2.3% | -55.8% | -0.05 | -0.04 | 0.8x | 186 | 52% |
| Parabolic SAR step=0.05, maxStep=0.08 |
-4.9% | -60.6% | -0.22 | -0.08 | 0.7x | 160 | 59% |
| Buy and hold | 14.5% | -34.8% | 0.67 | 0.42 | 2.7x | 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 9-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 9-day average falls below the 215-day average