Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell 2000 Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell 2000 Value ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -62.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.5%, MDD -57.5%, Sharpe 0.40, 98% 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 98% n=10, threshold=-0.09 |
6.5% | -57.5% | 0.40 | 0.11 | 5.2x | 75 | 98% |
| Donchian 채널 돌파 entryN=8, exitN=89 |
5.8% | -60.7% | 0.38 | 0.09 | 4.3x | 71 | 91% |
| EMA 크로스오버 fast=32, slow=158 |
4.3% | -34.4% | 0.36 | 0.13 | 3.0x | 41 | 67% |
| SMA 크로스오버 fast=19, slow=75 |
4.1% | -42.5% | 0.34 | 0.10 | 2.8x | 99 | 64% |
| Supertrend period=19, mult=4.8 |
2.6% | -34.4% | 0.25 | 0.08 | 2.0x | 93 | 61% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
0.8% | -12.4% | 0.22 | 0.06 | 1.2x | 10 | 3% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.9% | -46.6% | 0.14 | 0.02 | 1.3x | 241 | 61% |
| ADX / DI 방향성 period=33, threshold=20 |
0.3% | -20.5% | 0.08 | 0.01 | 1.1x | 34 | 6% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=28, mult=3.7 |
0.1% | -5.4% | 0.04 | 0.01 | 1.0x | 6 | 1% |
| MACD fast=18, slow=25, signal=12 |
-2.1% | -64.4% | -0.06 | -0.03 | 0.6x | 378 | 50% |
| Buy and hold | 7.4% | -62.9% | 0.42 | 0.12 | 6.4x | 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 10-day return is greater than -9%
- Sell — Sell when the 10-day return drops to -9% or below