Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Technology ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Technology ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.1%, MDD -30.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.8%, drawdown -81.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -30.9%, Sharpe 0.65, 70% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.1%, MDD -30.5%, exposure 68%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 51.0%p (CAGR 10.1%, MDD -30.5%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=93, exitN=105 |
9.8% | -30.9% | 0.65 | 0.32 | 11.6x | 25 | 70% |
| SMA 크로스오버 fast=43, slow=144 |
10.1% | -30.5% | 0.64 | 0.33 | 12.4x | 35 | 68% |
| EMA 크로스오버 fast=27, slow=90 |
9.1% | -34.6% | 0.62 | 0.26 | 10.0x | 57 | 68% |
| Supertrend period=25, mult=4.8 |
7.0% | -43.1% | 0.52 | 0.16 | 6.0x | 94 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=1.7 |
4.9% | -33.3% | 0.42 | 0.15 | 3.5x | 161 | 53% |
| ROC 모멘텀 n=120, threshold=0 |
5.3% | -46.1% | 0.40 | 0.11 | 3.9x | 195 | 67% |
| 볼린저 밴드 돌파 n=55, k=1.9 |
3.7% | -29.2% | 0.37 | 0.13 | 2.6x | 108 | 41% |
| Parabolic SAR step=0.005, maxStep=0.08 |
2.8% | -46.0% | 0.25 | 0.06 | 2.1x | 257 | 61% |
| ADX / DI 방향성 period=31, threshold=15 |
1.1% | -31.9% | 0.16 | 0.03 | 1.3x | 152 | 25% |
| MACD fast=21, slow=46, signal=14 |
-1.9% | -73.3% | -0.04 | -0.03 | 0.6x | 322 | 51% |
| Buy and hold | 8.8% | -81.9% | 0.45 | 0.11 | 9.1x | 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 93 days
- Sell — Sell when price breaks below the lowest low of the last 105 days