Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell 1000 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell 1000 ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -27.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -56.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -27.2%, Sharpe 0.62, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 6.8%, MDD -27.2%, exposure 70%).
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=19, slow=205 |
6.8% | -27.2% | 0.62 | 0.25 | 5.6x | 33 | 70% |
| EMA 크로스오버 fast=40, slow=130 |
6.3% | -33.1% | 0.58 | 0.19 | 5.0x | 33 | 71% |
| ROC 모멘텀 n=187, threshold=-0.02 |
5.9% | -31.0% | 0.54 | 0.19 | 4.6x | 109 | 75% |
| Donchian 채널 돌파 entryN=110, exitN=71 |
5.0% | -24.6% | 0.53 | 0.20 | 3.6x | 37 | 61% |
| Supertrend period=13, mult=4.6 |
3.3% | -37.8% | 0.36 | 0.09 | 2.3x | 105 | 59% |
| 볼린저 밴드 돌파 n=37, k=3.1 |
0.1% | -4.7% | 0.10 | 0.02 | 1.0x | 3 | 1% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=15, mult=3.8 |
0.3% | -28.7% | 0.08 | 0.01 | 1.1x | 85 | 37% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.7% | -61.0% | -0.09 | -0.03 | 0.6x | 263 | 64% |
| ADX / DI 방향성 period=30, threshold=23 |
-0.4% | -20.0% | -0.17 | -0.02 | 0.9x | 16 | 3% |
| MACD fast=19, slow=57, signal=17 |
-3.2% | -65.4% | -0.23 | -0.05 | 0.4x | 308 | 53% |
| Buy and hold | 6.8% | -56.4% | 0.44 | 0.12 | 5.6x | 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 19-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 19-day average falls below the 205-day average