Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Financial Services ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Financial Services ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.0%, MDD -30.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -82.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -30.5%, Sharpe 0.37, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 52.4%p (CAGR 4.0%, MDD -30.5%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=108, exitN=61 |
4.0% | -30.5% | 0.37 | 0.13 | 2.8x | 37 | 53% |
| SMA 크로스오버 fast=14, slow=130 |
3.5% | -35.8% | 0.31 | 0.10 | 2.5x | 79 | 63% |
| EMA 크로스오버 fast=15, slow=198 |
3.3% | -34.4% | 0.30 | 0.10 | 2.3x | 61 | 65% |
| ADX / DI 방향성 period=24, threshold=37 |
0.4% | -5.8% | 0.25 | 0.08 | 1.1x | 4 | 1% |
| ROC 모멘텀 n=135, threshold=0.02 |
2.1% | -36.7% | 0.22 | 0.06 | 1.7x | 203 | 57% |
| Parabolic SAR step=0.01, maxStep=0.02 |
1.0% | -51.0% | 0.15 | 0.02 | 1.3x | 151 | 64% |
| Supertrend period=12, mult=2.9 |
0.9% | -50.4% | 0.14 | 0.02 | 1.3x | 221 | 62% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=9, mult=3.9 |
0.3% | -9.7% | 0.14 | 0.03 | 1.1x | 10 | 2% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
0.2% | -6.1% | 0.14 | 0.03 | 1.1x | 4 | 1% |
| MACD fast=17, slow=50, signal=17 |
-3.9% | -78.8% | -0.13 | -0.05 | 0.4x | 309 | 51% |
| Buy and hold | 4.9% | -82.9% | 0.31 | 0.06 | 3.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 108 days
- Sell — Sell when price breaks below the lowest low of the last 61 days