Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Basic Materials ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Basic Materials ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.7%, drawdown -68.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -46.9%, Sharpe 0.43, 95% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 Hold-like · Exposure 95% entryN=12, exitN=236 |
7.3% | -46.9% | 0.43 | 0.16 | 6.3x | 27 | 95% |
| ROC 모멘텀 n=81, threshold=-0.09 |
4.9% | -44.4% | 0.34 | 0.11 | 3.5x | 145 | 87% |
| SMA 크로스오버 fast=29, slow=81 |
3.7% | -38.9% | 0.30 | 0.09 | 2.6x | 91 | 62% |
| EMA 크로스오버 fast=35, slow=122 |
2.1% | -52.9% | 0.21 | 0.04 | 1.7x | 63 | 69% |
| Supertrend period=10, mult=5 |
0.1% | -45.3% | 0.08 | 0.00 | 1.0x | 113 | 56% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.6% | -49.9% | -0.02 | -0.03 | 0.7x | 247 | 57% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=1.2 |
-2.4% | -61.6% | -0.10 | -0.04 | 0.5x | 257 | 52% |
| ADX / DI 방향성 period=22, threshold=36 |
-0.1% | -5.8% | -0.11 | -0.02 | 1.0x | 4 | 0% |
| MACD fast=16, slow=44, signal=25 |
-3.5% | -69.7% | -0.13 | -0.05 | 0.4x | 285 | 51% |
| 볼린저 밴드 돌파 n=27, k=2.9 |
-0.5% | -13.8% | -0.18 | -0.03 | 0.9x | 16 | 3% |
| Buy and hold | 6.7% | -68.1% | 0.38 | 0.10 | 5.5x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 236 days