Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core S&P Total U.S. Stock Market ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P Total U.S. Stock Market ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.2%, MDD -27.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -56.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -33.5%, Sharpe 0.64, 75% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 7.2%, MDD -27.5%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=226 |
7.6% | -33.5% | 0.64 | 0.23 | 5.2x | 23 | 75% |
| EMA 크로스오버 fast=52, slow=119 |
7.2% | -27.5% | 0.63 | 0.26 | 4.8x | 27 | 76% |
| Donchian 채널 돌파 entryN=101, exitN=75 |
5.5% | -24.5% | 0.54 | 0.22 | 3.3x | 33 | 69% |
| Supertrend period=15, mult=4.7 |
4.7% | -19.4% | 0.50 | 0.24 | 2.8x | 94 | 62% |
| ROC 모멘텀 n=100, threshold=-0.13 |
6.4% | -42.1% | 0.47 | 0.15 | 4.0x | 57 | 94% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=4 |
0.1% | -24.1% | 0.05 | 0.01 | 1.0x | 70 | 32% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
-0.5% | -37.0% | -0.01 | -0.01 | 0.9x | 152 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.1% | -53.2% | -0.03 | -0.02 | 0.8x | 230 | 65% |
| ADX / DI 방향성 period=39, threshold=20 |
-0.2% | -9.0% | -0.10 | -0.02 | 1.0x | 6 | 1% |
| MACD fast=15, slow=55, signal=23 |
-3.2% | -63.1% | -0.23 | -0.05 | 0.5x | 276 | 53% |
| Buy and hold | 8.7% | -56.3% | 0.54 | 0.15 | 6.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 226-day average
- Sell — Sell (to cash) when the 28-day average falls below the 226-day average