Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. Small-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. Small-Cap ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -43.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -39.2%, Sharpe 0.61, 86% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=74 |
9.3% | -39.2% | 0.61 | 0.24 | 4.5x | 31 | 86% |
| ROC 모멘텀 n=46, threshold=-0.07 |
7.8% | -42.9% | 0.53 | 0.18 | 3.5x | 95 | 88% |
| EMA 크로스오버 fast=44, slow=77 |
6.6% | -32.2% | 0.51 | 0.21 | 2.9x | 35 | 73% |
| SMA 크로스오버 fast=10, slow=213 |
6.0% | -31.0% | 0.49 | 0.19 | 2.7x | 37 | 70% |
| Supertrend period=17, mult=4.6 |
3.6% | -28.3% | 0.32 | 0.13 | 1.8x | 69 | 65% |
| ADX / DI 방향성 period=37, threshold=21 |
0.7% | -6.2% | 0.29 | 0.12 | 1.1x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.0% | -37.0% | 0.21 | 0.05 | 1.4x | 162 | 62% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=20, mult=1.7 |
0.1% | -38.3% | 0.07 | 0.00 | 1.0x | 112 | 57% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
0.1% | -38.1% | 0.06 | 0.00 | 1.0x | 84 | 45% |
| MACD fast=15, slow=41, signal=16 |
-0.9% | -43.0% | -0.01 | -0.02 | 0.9x | 218 | 50% |
| Buy and hold | 10.6% | -43.0% | 0.58 | 0.25 | 5.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 74 days