Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Emerging Markets Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Emerging Markets Equity ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.3%, MDD -32.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.3%, drawdown -43.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.3%, MDD -32.8%, Sharpe 0.24, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 10.3%p (CAGR 2.3%, MDD -32.8%, exposure 55%).
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=45, slow=105 |
2.3% | -32.8% | 0.24 | 0.07 | 1.5x | 35 | 55% |
| 볼린저 밴드 돌파 n=39, k=3.3 |
0.6% | -6.9% | 0.22 | 0.09 | 1.1x | 4 | 3% |
| Donchian 채널 돌파 entryN=49, exitN=74 |
1.9% | -27.1% | 0.21 | 0.07 | 1.4x | 31 | 61% |
| EMA 크로스오버 fast=28, slow=90 |
0.7% | -34.4% | 0.12 | 0.02 | 1.1x | 43 | 56% |
| ROC 모멘텀 n=112, threshold=-0.06 |
-0.8% | -53.8% | 0.01 | -0.02 | 0.9x | 113 | 74% |
| Supertrend period=24, mult=4.8 |
-1.3% | -42.2% | -0.04 | -0.03 | 0.8x | 77 | 56% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=14, mult=2.3 |
-1.3% | -39.7% | -0.08 | -0.03 | 0.8x | 91 | 41% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-2.0% | -48.6% | -0.09 | -0.04 | 0.7x | 141 | 55% |
| MACD fast=19, slow=80, signal=32 |
-3.0% | -49.7% | -0.18 | -0.06 | 0.6x | 135 | 51% |
| ADX / DI 방향성 period=37, threshold=22 |
-0.2% | -7.3% | -0.18 | -0.03 | 1.0x | 2 | 0% |
| Buy and hold | 2.3% | -43.1% | 0.21 | 0.05 | 1.5x | 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 45-day average price crosses above the 105-day average
- Sell — Sell (to cash) when the 45-day average falls below the 105-day average