Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Healthcare ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Healthcare ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -42.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.1%, MDD -37.3%, Sharpe 0.40, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=35, threshold=-0.13 |
5.1% | -37.3% | 0.40 | 0.14 | 3.5x | 23 | 98% |
| EMA 크로스오버 fast=84, slow=183 |
4.2% | -27.6% | 0.39 | 0.15 | 2.8x | 21 | 73% |
| SMA 크로스오버 fast=17, slow=216 |
3.8% | -24.5% | 0.38 | 0.15 | 2.5x | 41 | 68% |
| Donchian 채널 돌파 entryN=81, exitN=71 |
3.1% | -27.5% | 0.35 | 0.11 | 2.1x | 37 | 62% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.4% | -4.5% | 0.25 | 0.10 | 1.1x | 4 | 3% |
| MACD fast=20, slow=78, signal=31 |
1.1% | -32.7% | 0.16 | 0.03 | 1.3x | 185 | 53% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=17, mult=3.5 |
0.0% | -16.9% | 0.02 | 0.00 | 1.0x | 41 | 12% |
| ADX / DI 방향성 period=37, threshold=27 |
-0.0% | -4.6% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| Supertrend period=15, mult=3.9 |
-0.9% | -47.2% | -0.03 | -0.02 | 0.8x | 139 | 62% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-4.7% | -70.8% | -0.35 | -0.07 | 0.3x | 447 | 57% |
| Buy and hold | 5.8% | -42.8% | 0.42 | 0.14 | 4.1x | 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 35-day return is greater than -13%
- Sell — Sell when the 35-day return drops to -13% or below