Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Consumer Staples ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Consumer Staples ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.8%, drawdown -43.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.3%, MDD -35.4%, Sharpe 0.37, 99% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=12, threshold=-0.08 |
4.3% | -35.4% | 0.37 | 0.12 | 2.3x | 33 | 99% |
| Donchian 채널 돌파 entryN=16, exitN=94 |
3.0% | -35.5% | 0.31 | 0.09 | 1.8x | 40 | 89% |
| EMA 크로스오버 fast=43, slow=216 |
1.7% | -29.6% | 0.20 | 0.06 | 1.4x | 23 | 75% |
| SMA 크로스오버 fast=42, slow=211 |
1.2% | -32.5% | 0.16 | 0.04 | 1.3x | 33 | 70% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=3.6 |
0.3% | -21.9% | 0.09 | 0.02 | 1.1x | 52 | 22% |
| ADX / DI 방향성 period=34, threshold=31 |
0.1% | -4.1% | 0.06 | 0.02 | 1.0x | 4 | 1% |
| Supertrend period=15, mult=3 |
-0.1% | -31.2% | 0.03 | -0.00 | 1.0x | 164 | 62% |
| 볼린저 밴드 돌파 n=39, k=2.5 |
-0.1% | -20.8% | 0.00 | -0.00 | 1.0x | 42 | 15% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-0.8% | -39.3% | -0.03 | -0.02 | 0.9x | 110 | 67% |
| MACD fast=20, slow=31, signal=17 |
-2.6% | -43.8% | -0.23 | -0.06 | 0.6x | 246 | 49% |
| Buy and hold | 4.8% | -43.9% | 0.38 | 0.11 | 2.6x | 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 12-day return is greater than -8%
- Sell — Sell when the 12-day return drops to -8% or below