Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core S&P Small-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P Small-Cap ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.8%, drawdown -58.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.0%, MDD -56.0%, Sharpe 0.51, 99% 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 99% n=9, threshold=-0.11 |
9.0% | -56.0% | 0.51 | 0.16 | 9.6x | 43 | 99% |
| EMA 크로스오버 fast=31, slow=201 |
5.5% | -37.3% | 0.43 | 0.15 | 4.0x | 37 | 69% |
| Donchian 채널 돌파 entryN=81, exitN=79 |
4.8% | -30.9% | 0.40 | 0.16 | 3.4x | 39 | 64% |
| SMA 크로스오버 fast=58, slow=97 |
4.1% | -42.5% | 0.34 | 0.10 | 2.8x | 73 | 66% |
| Supertrend period=17, mult=3.9 |
2.7% | -39.4% | 0.25 | 0.07 | 2.0x | 127 | 63% |
| ADX / DI 방향성 period=28, threshold=26 |
0.5% | -9.4% | 0.19 | 0.06 | 1.1x | 12 | 3% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
-0.5% | -37.0% | -0.04 | -0.01 | 0.9x | 36 | 14% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=3.9 |
-0.8% | -40.8% | -0.06 | -0.02 | 0.8x | 65 | 25% |
| MACD fast=11, slow=44, signal=15 |
-2.6% | -60.3% | -0.10 | -0.04 | 0.5x | 390 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.9% | -75.1% | -0.18 | -0.05 | 0.4x | 522 | 58% |
| Buy and hold | 8.8% | -58.9% | 0.48 | 0.15 | 9.1x | 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 9-day return is greater than -11%
- Sell — Sell when the 9-day return drops to -11% or below