Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell 2000 Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares Russell 2000 Index Fund. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -59.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.6%, MDD -48.2%, Sharpe 0.44, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=12, threshold=-0.13 |
7.6% | -48.2% | 0.44 | 0.16 | 6.8x | 35 | 99% |
| SMA 크로스오버 fast=10, slow=211 |
4.9% | -27.5% | 0.40 | 0.18 | 3.5x | 65 | 66% |
| EMA 크로스오버 fast=26, slow=149 |
4.3% | -33.3% | 0.36 | 0.13 | 3.0x | 61 | 67% |
| Donchian 채널 돌파 entryN=20, exitN=57 |
3.9% | -51.7% | 0.30 | 0.08 | 2.7x | 77 | 80% |
| Supertrend period=29, mult=4.1 |
2.8% | -33.6% | 0.26 | 0.08 | 2.1x | 115 | 62% |
| ADX / DI 방향성 period=23, threshold=30 |
0.7% | -8.1% | 0.25 | 0.08 | 1.2x | 10 | 2% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
0.1% | -4.1% | 0.08 | 0.03 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.3 |
-0.7% | -56.9% | 0.01 | -0.01 | 0.8x | 218 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.2% | -56.5% | 0.00 | -0.02 | 0.7x | 258 | 58% |
| MACD fast=11, slow=51, signal=18 |
-2.4% | -66.2% | -0.09 | -0.04 | 0.5x | 354 | 51% |
| Buy and hold | 7.3% | -59.5% | 0.42 | 0.12 | 6.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 12-day return is greater than -13%
- Sell — Sell when the 12-day return drops to -13% or below