Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell 2000 Growth Fund backtest
10 trend-following strategies were compared on the full daily history of iShares Russell 2000 Growth Fund. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.0%, MDD -30.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -60.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -30.6%, Sharpe 0.42, 75% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 29.8%p (CAGR 6.0%, MDD -30.6%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=69, exitN=107 |
6.0% | -30.6% | 0.42 | 0.20 | 4.6x | 29 | 75% |
| SMA 크로스오버 fast=19, slow=75 |
4.9% | -42.4% | 0.38 | 0.11 | 3.4x | 103 | 63% |
| EMA 크로스오버 fast=45, slow=219 |
4.9% | -39.6% | 0.37 | 0.12 | 3.5x | 29 | 67% |
| Supertrend period=16, mult=4.3 |
4.0% | -30.3% | 0.34 | 0.13 | 2.8x | 107 | 57% |
| ROC 모멘텀 n=78, threshold=-0.06 |
3.1% | -53.1% | 0.26 | 0.06 | 2.2x | 179 | 78% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.8% | -46.7% | 0.13 | 0.02 | 1.2x | 258 | 59% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
0.4% | -39.8% | 0.10 | 0.01 | 1.1x | 150 | 47% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=2.1 |
0.2% | -37.2% | 0.08 | 0.01 | 1.1x | 146 | 43% |
| ADX / DI 방향성 period=35, threshold=22 |
-0.1% | -25.2% | -0.00 | -0.00 | 1.0x | 16 | 2% |
| MACD fast=11, slow=22, signal=17 |
-2.7% | -54.3% | -0.09 | -0.05 | 0.5x | 426 | 50% |
| Buy and hold | 6.3% | -60.3% | 0.37 | 0.10 | 4.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 69 days
- Sell — Sell when price breaks below the lowest low of the last 107 days