Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Financial ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Financial ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.8%, MDD -27.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.2%, drawdown -80.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -33.0%, Sharpe 0.40, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.8%, MDD -27.9%, exposure 68%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 4.8%, MDD -27.9%, exposure 68%).
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=22, slow=216 |
4.6% | -33.0% | 0.40 | 0.14 | 3.3x | 41 | 67% |
| Donchian 채널 돌파 entryN=59, exitN=75 |
4.8% | -27.9% | 0.40 | 0.17 | 3.4x | 41 | 68% |
| EMA 크로스오버 fast=28, slow=215 |
4.0% | -36.9% | 0.37 | 0.11 | 2.8x | 37 | 68% |
| ROC 모멘텀 n=124, threshold=-0.04 |
2.8% | -46.0% | 0.27 | 0.06 | 2.1x | 157 | 76% |
| ADX / DI 방향성 period=31, threshold=30 |
0.1% | -7.4% | 0.12 | 0.02 | 1.0x | 4 | 1% |
| Supertrend period=11, mult=4.4 |
0.6% | -36.7% | 0.11 | 0.02 | 1.2x | 121 | 55% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=4 |
0.4% | -26.8% | 0.09 | 0.01 | 1.1x | 49 | 16% |
| 볼린저 밴드 돌파 n=36, k=1.5 |
-0.5% | -41.1% | 0.01 | -0.01 | 0.9x | 201 | 45% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.7% | -71.8% | -0.10 | -0.04 | 0.5x | 244 | 59% |
| MACD fast=14, slow=28, signal=19 |
-4.5% | -79.0% | -0.20 | -0.06 | 0.3x | 398 | 51% |
| Buy and hold | 4.2% | -80.2% | 0.29 | 0.05 | 2.9x | 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 22-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 22-day average falls below the 216-day average