Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global REIT ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global REIT ETF. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 1.0%, drawdown -44.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -3.3%, Sharpe 0.39, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.1%, MDD -38.5%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=3.5 |
0.7% | -3.3% | 0.39 | 0.21 | 1.1x | 2 | 2% |
| ROC 모멘텀 Hold-like · Exposure 99% n=14, threshold=-0.12 |
3.1% | -38.5% | 0.27 | 0.08 | 1.4x | 11 | 99% |
| SMA 크로스오버 fast=58, slow=194 |
0.6% | -28.4% | 0.11 | 0.02 | 1.1x | 17 | 52% |
| Donchian 채널 돌파 entryN=12, exitN=66 |
0.2% | -35.3% | 0.08 | 0.01 | 1.0x | 43 | 85% |
| ADX / DI 방향성 period=19, threshold=39 |
0.1% | -2.3% | 0.07 | 0.03 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=37, mult=4 |
-0.2% | -15.7% | -0.01 | -0.01 | 1.0x | 22 | 18% |
| EMA 크로스오버 fast=58, slow=167 |
-1.2% | -33.3% | -0.07 | -0.04 | 0.9x | 19 | 52% |
| Supertrend period=26, mult=4.3 |
-1.7% | -40.6% | -0.09 | -0.04 | 0.8x | 59 | 58% |
| MACD fast=36, slow=48, signal=22 |
-2.4% | -43.5% | -0.16 | -0.05 | 0.7x | 99 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.3% | -43.9% | -0.22 | -0.07 | 0.7x | 109 | 58% |
| Buy and hold | 1.0% | -44.6% | 0.15 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 29-day middle average