Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Health Care Providers ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Health Care Providers ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.0%, drawdown -58.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.8%, MDD -49.0%, Sharpe 0.59, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=16, threshold=-0.1 |
9.8% | -49.0% | 0.59 | 0.20 | 6.6x | 45 | 97% |
| Donchian 채널 돌파 entryN=120, exitN=67 |
6.4% | -20.4% | 0.58 | 0.31 | 3.5x | 25 | 55% |
| SMA 크로스오버 fast=40, slow=209 |
5.7% | -43.1% | 0.43 | 0.13 | 3.0x | 29 | 65% |
| EMA 크로스오버 fast=57, slow=127 |
5.1% | -48.6% | 0.40 | 0.11 | 2.7x | 29 | 67% |
| Supertrend period=29, mult=4.7 |
3.6% | -47.3% | 0.32 | 0.08 | 2.1x | 83 | 65% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.5% | -53.6% | 0.18 | 0.03 | 1.4x | 191 | 61% |
| MACD fast=25, slow=66, signal=30 |
1.4% | -45.1% | 0.17 | 0.03 | 1.3x | 159 | 53% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=16, mult=3.2 |
1.1% | -34.0% | 0.16 | 0.03 | 1.2x | 81 | 35% |
| 볼린저 밴드 돌파 n=27, k=2.9 |
0.2% | -14.1% | 0.08 | 0.02 | 1.0x | 18 | 5% |
| ADX / DI 방향성 period=15, threshold=29 |
0.0% | -23.5% | 0.03 | 0.00 | 1.0x | 57 | 11% |
| Buy and hold | 9.0% | -58.8% | 0.51 | 0.15 | 5.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 16-day return is greater than -10%
- Sell — Sell when the 16-day return drops to -10% or below