Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Power Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Power Infrastructure ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.8%, MDD -7.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.2%, drawdown -72.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -26.2%, Sharpe 0.30, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 0.8%, MDD -7.3%, exposure 2%).
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=38, slow=201 |
3.6% | -26.2% | 0.30 | 0.14 | 1.7x | 19 | 55% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
1.0% | -9.4% | 0.24 | 0.10 | 1.1x | 8 | 4% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=23, mult=3.7 |
0.8% | -7.3% | 0.23 | 0.10 | 1.1x | 6 | 2% |
| EMA 크로스오버 fast=59, slow=144 |
2.1% | -30.1% | 0.21 | 0.07 | 1.4x | 21 | 56% |
| ROC 모멘텀 Hold-like · Exposure 97% n=9, threshold=-0.09 |
0.7% | -59.3% | 0.14 | 0.01 | 1.1x | 51 | 97% |
| Donchian 채널 돌파 entryN=22, exitN=56 |
0.5% | -38.1% | 0.12 | 0.01 | 1.1x | 44 | 69% |
| MACD fast=31, slow=71, signal=17 |
-0.7% | -42.5% | 0.04 | -0.02 | 0.9x | 120 | 50% |
| Supertrend period=19, mult=3.2 |
-1.8% | -45.4% | -0.03 | -0.04 | 0.8x | 128 | 54% |
| ADX / DI 방향성 period=37, threshold=20 |
-0.4% | -14.1% | -0.09 | -0.03 | 0.9x | 8 | 5% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.1% | -48.8% | -0.12 | -0.06 | 0.6x | 122 | 51% |
| Buy and hold | 0.2% | -72.1% | 0.13 | 0.00 | 1.0x | 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 38-day average price crosses above the 201-day average
- Sell — Sell (to cash) when the 38-day average falls below the 201-day average