Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares S&P SmallCap 600 Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P SmallCap 600 Value ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.7%, MDD -43.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -61.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -43.8%, Sharpe 0.43, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 17.5%p (CAGR 6.7%, MDD -43.8%, exposure 87%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=55 |
6.7% | -43.8% | 0.43 | 0.15 | 5.4x | 95 | 87% |
| EMA 크로스오버 fast=57, slow=127 |
5.1% | -40.2% | 0.41 | 0.13 | 3.6x | 39 | 68% |
| SMA 크로스오버 fast=28, slow=382 |
4.7% | -40.5% | 0.38 | 0.12 | 3.3x | 23 | 66% |
| Supertrend period=28, mult=5 |
4.0% | -37.3% | 0.33 | 0.11 | 2.8x | 91 | 64% |
| ROC 모멘텀 n=123, threshold=-0.09 |
4.3% | -38.4% | 0.32 | 0.11 | 3.0x | 107 | 85% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.8% | -50.4% | 0.13 | 0.02 | 1.2x | 244 | 62% |
| ADX / DI 방향성 period=38, threshold=17 |
0.4% | -24.3% | 0.09 | 0.02 | 1.1x | 52 | 11% |
| 볼린저 밴드 돌파 n=27, k=2.7 |
0.3% | -28.0% | 0.09 | 0.01 | 1.1x | 34 | 6% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=11, mult=2 |
-0.5% | -55.3% | 0.02 | -0.01 | 0.9x | 157 | 50% |
| MACD fast=18, slow=34, signal=12 |
-1.0% | -59.4% | 0.01 | -0.02 | 0.8x | 366 | 50% |
| Buy and hold | 8.4% | -61.3% | 0.46 | 0.14 | 8.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 55 days