Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Consumer Staples ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Consumer Staples ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.7%, MDD -31.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -44.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.7%, MDD -31.2%, Sharpe 0.48, 93% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 12.9%p (CAGR 5.7%, MDD -31.2%, exposure 93%).
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 n=129, threshold=-0.1 |
5.7% | -31.2% | 0.48 | 0.18 | 4.3x | 37 | 93% |
| EMA 크로스오버 fast=132, slow=269 |
5.2% | -33.4% | 0.47 | 0.16 | 3.8x | 13 | 80% |
| Donchian 채널 돌파 entryN=5, exitN=89 |
4.6% | -44.2% | 0.40 | 0.10 | 3.2x | 73 | 94% |
| SMA 크로스오버 fast=51, slow=199 |
2.7% | -33.9% | 0.29 | 0.08 | 2.0x | 37 | 69% |
| ADX / DI 방향성 period=44, threshold=25 |
0.3% | -4.7% | 0.18 | 0.06 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=28, k=3.4 |
0.1% | -2.5% | 0.17 | 0.05 | 1.0x | 2 | 1% |
| Supertrend period=22, mult=3.9 |
0.6% | -30.2% | 0.11 | 0.02 | 1.2x | 155 | 65% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=3.7 |
-0.5% | -34.7% | -0.06 | -0.02 | 0.9x | 76 | 27% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.5% | -59.0% | -0.20 | -0.04 | 0.5x | 255 | 61% |
| MACD fast=18, slow=56, signal=16 |
-3.4% | -66.8% | -0.31 | -0.05 | 0.4x | 313 | 52% |
| Buy and hold | 6.7% | -44.1% | 0.49 | 0.15 | 5.4x | 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 129-day return is greater than -10%
- Sell — Sell when the 129-day return drops to -10% or below