Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Residential and Multisector Real Estate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Residential and Multisector Real Estate ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -20.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.4%, drawdown -70.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -20.4%, Sharpe 0.61, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 49.9%p (CAGR 8.4%, MDD -20.4%, exposure 63%).
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=66, slow=114 |
8.4% | -20.4% | 0.61 | 0.41 | 4.7x | 31 | 63% |
| EMA 크로스오버 fast=43, slow=262 |
4.8% | -35.4% | 0.38 | 0.14 | 2.5x | 15 | 66% |
| Donchian 채널 돌파 entryN=98, exitN=59 |
3.2% | -38.3% | 0.31 | 0.08 | 1.8x | 29 | 51% |
| ROC 모멘텀 n=136, threshold=-0.02 |
2.1% | -41.6% | 0.21 | 0.05 | 1.5x | 121 | 67% |
| Supertrend period=34, mult=4.4 |
0.6% | -33.7% | 0.12 | 0.02 | 1.1x | 86 | 64% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
0.1% | -5.5% | 0.10 | 0.02 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=34, threshold=19 |
0.4% | -16.2% | 0.10 | 0.02 | 1.1x | 32 | 10% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=16, mult=4 |
-0.5% | -21.3% | -0.08 | -0.02 | 0.9x | 20 | 5% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-6.0% | -74.4% | -0.18 | -0.08 | 0.3x | 182 | 60% |
| MACD fast=15, slow=49, signal=12 |
-5.8% | -71.6% | -0.20 | -0.08 | 0.3x | 278 | 52% |
| Buy and hold | 3.4% | -70.3% | 0.26 | 0.05 | 1.9x | 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 66-day average price crosses above the 114-day average
- Sell — Sell (to cash) when the 66-day average falls below the 114-day average