Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Microcap ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Microcap ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.1%, MDD -32.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -65.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.1%, MDD -32.7%, Sharpe 0.46, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 32.6%p (CAGR 6.1%, MDD -32.7%, exposure 63%).
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=65, slow=71 |
6.1% | -32.7% | 0.46 | 0.19 | 3.5x | 35 | 63% |
| SMA 크로스오버 fast=8, slow=202 |
5.8% | -28.9% | 0.44 | 0.20 | 3.3x | 43 | 60% |
| Donchian 채널 돌파 entryN=109, exitN=55 |
4.2% | -30.1% | 0.37 | 0.14 | 2.4x | 35 | 49% |
| Supertrend period=29, mult=4.1 |
4.5% | -37.2% | 0.36 | 0.12 | 2.5x | 101 | 58% |
| ADX / DI 방향성 period=35, threshold=29 |
0.7% | -8.2% | 0.29 | 0.09 | 1.2x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=27, mult=3.7 |
0.9% | -13.2% | 0.25 | 0.07 | 1.2x | 14 | 3% |
| ROC 모멘텀 n=153, threshold=-0.09 |
2.9% | -47.7% | 0.25 | 0.06 | 1.8x | 105 | 77% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
1.0% | -38.5% | 0.14 | 0.03 | 1.2x | 130 | 47% |
| MACD fast=8, slow=26, signal=16 |
0.7% | -48.4% | 0.12 | 0.01 | 1.2x | 360 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.9% | -55.1% | 0.02 | -0.02 | 0.8x | 212 | 56% |
| Buy and hold | 6.5% | -65.2% | 0.38 | 0.10 | 3.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 65-day EMA crosses above the 71-day EMA
- Sell — Sell when the 65-day EMA falls below the 71-day EMA