Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell Mid-Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell Mid-Cap Value 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 7.2%, MDD -26.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -63.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.2%, MDD -26.8%, Sharpe 0.64, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 37.1%p (CAGR 7.2%, MDD -26.8%, exposure 72%).
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=55, slow=84 |
7.2% | -26.8% | 0.64 | 0.27 | 5.6x | 39 | 72% |
| Donchian 채널 돌파 entryN=107, exitN=77 |
6.6% | -24.9% | 0.63 | 0.26 | 4.9x | 31 | 65% |
| SMA 크로스오버 fast=48, slow=127 |
6.4% | -35.9% | 0.56 | 0.18 | 4.8x | 41 | 69% |
| ROC 모멘텀 n=104, threshold=-0.03 |
5.8% | -42.6% | 0.49 | 0.14 | 4.1x | 143 | 78% |
| Supertrend period=23, mult=5 |
5.4% | -21.8% | 0.48 | 0.25 | 3.7x | 89 | 68% |
| 볼린저 밴드 돌파 n=60, k=3.1 |
1.3% | -7.6% | 0.43 | 0.17 | 1.4x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=1.8 |
3.3% | -29.6% | 0.38 | 0.11 | 2.3x | 147 | 54% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.5% | -32.3% | 0.18 | 0.05 | 1.4x | 237 | 64% |
| ADX / DI 방향성 period=22, threshold=25 |
-0.2% | -17.8% | -0.04 | -0.01 | 1.0x | 40 | 6% |
| MACD fast=17, slow=35, signal=19 |
-2.8% | -67.8% | -0.16 | -0.04 | 0.5x | 324 | 51% |
| Buy and hold | 7.6% | -63.9% | 0.47 | 0.12 | 6.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 84-day EMA
- Sell — Sell when the 55-day EMA falls below the 84-day EMA