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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.6%, MDD -22.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -34.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.6%, MDD -22.8%, Sharpe 0.74, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 12.0%p (CAGR 11.6%, MDD -22.8%, exposure 62%).
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=11, slow=214 |
11.6% | -22.8% | 0.74 | 0.51 | 2.2x | 11 | 62% |
| SMA 크로스오버 fast=14, slow=197 |
10.3% | -24.8% | 0.68 | 0.42 | 2.0x | 11 | 61% |
| ROC 모멘텀 n=189, threshold=-0.03 |
8.8% | -30.3% | 0.56 | 0.29 | 1.8x | 33 | 69% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=4 |
4.6% | -21.1% | 0.47 | 0.22 | 1.4x | 17 | 24% |
| Donchian 채널 돌파 entryN=71, exitN=75 |
5.4% | -27.7% | 0.40 | 0.19 | 1.5x | 11 | 62% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
2.7% | -17.5% | 0.38 | 0.15 | 1.2x | 7 | 11% |
| Supertrend period=16, mult=4.8 |
4.0% | -35.9% | 0.34 | 0.11 | 1.3x | 29 | 51% |
| ADX / DI 방향성 period=28, threshold=28 |
0.7% | -5.3% | 0.28 | 0.14 | 1.1x | 2 | 2% |
| MACD fast=8, slow=39, signal=12 |
-3.2% | -58.4% | -0.12 | -0.06 | 0.8x | 128 | 51% |
| Parabolic SAR step=0.05, maxStep=0.22 |
-5.3% | -58.9% | -0.25 | -0.09 | 0.7x | 244 | 55% |
| Buy and hold | 13.1% | -34.8% | 0.63 | 0.38 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 11-day EMA crosses above the 214-day EMA
- Sell — Sell when the 11-day EMA falls below the 214-day EMA