Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares S&P Mid-Cap 400 Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P Mid-Cap 400 Growth 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 6.9%, MDD -23.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -54.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.9%, MDD -23.3%, Sharpe 0.56, 71% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.6%, MDD -40.8%, exposure 83%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 31.3%p (CAGR 6.9%, MDD -23.3%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=146 |
6.9% | -23.3% | 0.56 | 0.30 | 5.7x | 31 | 71% |
| Donchian 채널 돌파 entryN=27, exitN=91 |
7.6% | -40.8% | 0.53 | 0.19 | 6.7x | 43 | 83% |
| SMA 크로스오버 fast=19, slow=202 |
5.6% | -28.6% | 0.46 | 0.20 | 4.1x | 37 | 71% |
| ROC 모멘텀 n=75, threshold=-0.04 |
3.4% | -42.3% | 0.30 | 0.08 | 2.4x | 187 | 79% |
| Supertrend period=29, mult=5 |
2.7% | -44.7% | 0.26 | 0.06 | 2.0x | 93 | 68% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=2.3 |
0.7% | -43.9% | 0.12 | 0.02 | 1.2x | 140 | 47% |
| 볼린저 밴드 돌파 n=27, k=2.7 |
0.1% | -11.8% | 0.06 | 0.01 | 1.0x | 24 | 5% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-1.1% | -57.6% | -0.00 | -0.02 | 0.8x | 256 | 63% |
| MACD fast=34, slow=46, signal=25 |
-1.5% | -51.0% | -0.06 | -0.03 | 0.7x | 242 | 51% |
| ADX / DI 방향성 period=27, threshold=31 |
-0.1% | -3.2% | -0.15 | -0.03 | 1.0x | 2 | 0% |
| Buy and hold | 7.8% | -54.6% | 0.45 | 0.14 | 7.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 146-day EMA
- Sell — Sell when the 40-day EMA falls below the 146-day EMA