Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell Mid-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell Mid-Cap ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.7%, MDD -23.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -59.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -23.3%, Sharpe 0.65, 73% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.7%, MDD -23.7%, exposure 73%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 36.5%p (CAGR 7.7%, MDD -23.7%, exposure 73%).
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=8, slow=205 |
7.4% | -23.3% | 0.65 | 0.32 | 5.9x | 43 | 73% |
| Donchian 채널 돌파 entryN=51, exitN=71 |
7.7% | -23.7% | 0.65 | 0.33 | 6.4x | 41 | 73% |
| EMA 크로스오버 fast=25, slow=209 |
7.4% | -22.4% | 0.63 | 0.33 | 5.9x | 27 | 74% |
| Supertrend period=17, mult=4.3 |
5.9% | -21.6% | 0.54 | 0.27 | 4.2x | 109 | 65% |
| ROC 모멘텀 n=117, threshold=-0.04 |
5.5% | -47.5% | 0.46 | 0.11 | 3.8x | 125 | 80% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=17, mult=1.7 |
2.7% | -27.6% | 0.31 | 0.10 | 1.9x | 149 | 60% |
| 볼린저 밴드 돌파 n=62, k=1.1 |
2.1% | -28.5% | 0.25 | 0.07 | 1.7x | 151 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.0% | -32.9% | 0.07 | -0.00 | 1.0x | 247 | 65% |
| ADX / DI 방향성 period=24, threshold=39 |
-0.0% | -2.3% | -0.03 | -0.01 | 1.0x | 2 | 0% |
| MACD fast=13, slow=33, signal=9 |
-3.6% | -63.2% | -0.23 | -0.06 | 0.4x | 456 | 51% |
| Buy and hold | 8.4% | -59.8% | 0.50 | 0.14 | 7.5x | 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 8-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 8-day average falls below the 205-day average