Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell Top 200 Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell Top 200 Value ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.9%, MDD -21.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -35.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.6%, MDD -25.2%, Sharpe 0.66, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 10.6%p (CAGR 6.9%, MDD -21.8%, exposure 95%).
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 97% n=9, threshold=-0.06 |
8.6% | -25.2% | 0.66 | 0.34 | 4.1x | 53 | 97% |
| SMA 크로스오버 fast=37, slow=173 |
6.4% | -29.5% | 0.59 | 0.22 | 2.9x | 19 | 75% |
| EMA 크로스오버 fast=66, slow=93 |
6.0% | -22.0% | 0.56 | 0.27 | 2.7x | 23 | 77% |
| Donchian 채널 돌파 entryN=8, exitN=79 |
6.9% | -21.8% | 0.56 | 0.32 | 3.1x | 35 | 95% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=29, mult=3.1 |
0.6% | -5.8% | 0.46 | 0.11 | 1.1x | 8 | 3% |
| 볼린저 밴드 돌파 n=79, k=3.1 |
0.9% | -5.3% | 0.39 | 0.17 | 1.2x | 2 | 4% |
| Parabolic SAR step=0.015, maxStep=0.02 |
1.8% | -20.4% | 0.23 | 0.09 | 1.4x | 99 | 70% |
| Supertrend period=17, mult=5 |
1.0% | -26.8% | 0.15 | 0.04 | 1.2x | 81 | 61% |
| MACD fast=16, slow=30, signal=19 |
-1.6% | -35.5% | -0.13 | -0.05 | 0.8x | 226 | 51% |
| ADX / DI 방향성 period=14, threshold=35 |
-0.4% | -10.4% | -0.19 | -0.04 | 0.9x | 20 | 3% |
| Buy and hold | 9.0% | -35.8% | 0.61 | 0.25 | 4.4x | 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 9-day return is greater than -6%
- Sell — Sell when the 9-day return drops to -6% or below