Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares S&P 500 Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 Value ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -22.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.3%, drawdown -63.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.9%, MDD -22.3%, Sharpe 0.57, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 5.9%, MDD -22.3%, exposure 72%).
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=25, slow=203 |
5.9% | -22.3% | 0.57 | 0.26 | 4.4x | 27 | 72% |
| SMA 크로스오버 fast=15, slow=227 |
5.2% | -28.4% | 0.52 | 0.18 | 3.8x | 39 | 70% |
| Donchian 채널 돌파 entryN=81, exitN=79 |
3.9% | -27.5% | 0.43 | 0.14 | 2.7x | 37 | 62% |
| ROC 모멘텀 n=125, threshold=-0.02 |
3.8% | -37.5% | 0.38 | 0.10 | 2.6x | 133 | 74% |
| Supertrend period=14, mult=5 |
1.5% | -31.3% | 0.19 | 0.05 | 1.5x | 97 | 59% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
0.1% | -4.5% | 0.17 | 0.03 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=30, threshold=29 |
0.1% | -3.7% | 0.09 | 0.03 | 1.0x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=3.8 |
-0.0% | -16.9% | 0.02 | -0.00 | 1.0x | 46 | 15% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.4% | -47.8% | -0.05 | -0.03 | 0.7x | 253 | 63% |
| MACD fast=13, slow=25, signal=23 |
-3.0% | -59.5% | -0.20 | -0.05 | 0.5x | 365 | 51% |
| Buy and hold | 5.3% | -63.0% | 0.37 | 0.08 | 3.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 203-day EMA
- Sell — Sell when the 25-day EMA falls below the 203-day EMA