Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Materials ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Materials ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.5%, MDD -35.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.9%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -41.7%, Sharpe 0.49, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 4.5%, MDD -35.8%, exposure 66%).
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=67, slow=82 |
6.7% | -41.7% | 0.49 | 0.16 | 3.6x | 84 | 58% |
| Donchian 채널 돌파 entryN=46, exitN=63 |
4.5% | -35.8% | 0.35 | 0.12 | 2.4x | 38 | 66% |
| EMA 크로스오버 fast=41, slow=44 |
3.6% | -47.1% | 0.31 | 0.08 | 2.0x | 66 | 61% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
0.2% | -3.1% | 0.19 | 0.05 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=24, threshold=37 |
0.1% | -1.0% | 0.17 | 0.09 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=81, threshold=0 |
0.7% | -47.4% | 0.13 | 0.02 | 1.2x | 217 | 60% |
| Supertrend period=11, mult=4.5 |
-0.3% | -57.3% | 0.05 | -0.00 | 1.0x | 114 | 52% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=7, mult=3.3 |
-0.7% | -37.2% | -0.01 | -0.02 | 0.9x | 86 | 38% |
| MACD fast=23, slow=58, signal=20 |
-4.6% | -69.0% | -0.20 | -0.07 | 0.4x | 200 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-6.1% | -80.3% | -0.31 | -0.08 | 0.3x | 359 | 55% |
| Buy and hold | 3.9% | -68.6% | 0.28 | 0.06 | 2.2x | 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 67-day average price crosses above the 82-day average
- Sell — Sell (to cash) when the 67-day average falls below the 82-day average