Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Real Estate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Real Estate ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.6%, MDD -56.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.3%, drawdown -76.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -56.2%, Sharpe 0.32, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 20.3%p (CAGR 3.6%, MDD -56.2%, exposure 63%).
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=60, slow=191 |
3.6% | -56.2% | 0.32 | 0.06 | 2.5x | 35 | 63% |
| Donchian 채널 돌파 entryN=76, exitN=64 |
2.7% | -38.0% | 0.28 | 0.07 | 2.0x | 49 | 57% |
| Supertrend period=9, mult=4.7 |
2.2% | -39.9% | 0.23 | 0.06 | 1.8x | 93 | 54% |
| EMA 크로스오버 fast=48, slow=216 |
2.3% | -52.3% | 0.23 | 0.04 | 1.8x | 35 | 65% |
| 볼린저 밴드 돌파 n=21, k=3.3 |
0.4% | -6.8% | 0.21 | 0.05 | 1.1x | 6 | 2% |
| ROC 모멘텀 n=126, threshold=-0.03 |
0.2% | -54.8% | 0.09 | 0.00 | 1.1x | 173 | 72% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=4 |
0.4% | -33.0% | 0.09 | 0.01 | 1.1x | 54 | 21% |
| MACD fast=30, slow=76, signal=20 |
-0.5% | -56.3% | 0.06 | -0.01 | 0.9x | 207 | 53% |
| ADX / DI 방향성 period=25, threshold=33 |
-0.1% | -5.4% | -0.11 | -0.01 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.8% | -85.5% | -0.30 | -0.08 | 0.2x | 477 | 58% |
| Buy and hold | 4.3% | -76.5% | 0.29 | 0.06 | 3.0x | 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 60-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 60-day average falls below the 191-day average