Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell Top 200 Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell Top 200 Growth ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.5%, drawdown -33.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -27.4%, Sharpe 0.80, 79% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.3%, MDD -27.4%, exposure 81%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=16, slow=196 |
11.2% | -27.4% | 0.80 | 0.41 | 6.0x | 23 | 79% |
| EMA 크로스오버 fast=27, slow=173 |
11.3% | -27.4% | 0.79 | 0.41 | 6.1x | 19 | 81% |
| Donchian 채널 돌파 entryN=18, exitN=60 |
10.4% | -32.8% | 0.74 | 0.32 | 5.3x | 42 | 86% |
| Supertrend period=8, mult=3.8 |
7.5% | -27.7% | 0.73 | 0.27 | 3.4x | 101 | 61% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=18, mult=2.3 |
4.8% | -27.1% | 0.55 | 0.18 | 2.2x | 98 | 49% |
| ROC 모멘텀 n=126, threshold=0.01 |
6.6% | -28.7% | 0.54 | 0.23 | 2.9x | 103 | 76% |
| 볼린저 밴드 돌파 n=41, k=1.3 |
4.0% | -31.3% | 0.44 | 0.13 | 1.9x | 118 | 55% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.4% | -29.9% | 0.26 | 0.08 | 1.5x | 181 | 65% |
| ADX / DI 방향성 period=29, threshold=20 |
-0.1% | -19.1% | 0.01 | -0.00 | 1.0x | 38 | 13% |
| MACD fast=16, slow=25, signal=9 |
-2.0% | -35.6% | -0.12 | -0.05 | 0.7x | 310 | 51% |
| Buy and hold | 15.5% | -33.1% | 0.86 | 0.47 | 11.4x | 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 16-day average price crosses above the 196-day average
- Sell — Sell (to cash) when the 16-day average falls below the 196-day average