Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. Large-Cap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. Large-Cap Growth ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -35.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -21.4%, Sharpe 0.85, 77% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.3%, MDD -38.1%, exposure 86%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=7, slow=133 |
11.0% | -21.4% | 0.85 | 0.51 | 5.6x | 43 | 77% |
| Donchian 채널 돌파 entryN=20, exitN=64 |
12.3% | -38.1% | 0.83 | 0.32 | 6.8x | 33 | 86% |
| EMA 크로스오버 fast=49, slow=115 |
11.6% | -29.6% | 0.81 | 0.39 | 6.2x | 19 | 79% |
| ROC 모멘텀 n=40, threshold=-0.04 |
9.9% | -35.3% | 0.71 | 0.28 | 4.8x | 115 | 85% |
| Supertrend period=23, mult=5 |
7.9% | -23.0% | 0.66 | 0.34 | 3.5x | 62 | 70% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=1.9 |
4.2% | -22.9% | 0.48 | 0.18 | 2.0x | 122 | 50% |
| 볼린저 밴드 돌파 n=34, k=1.2 |
4.5% | -27.3% | 0.47 | 0.16 | 2.1x | 142 | 55% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.4% | -29.1% | 0.33 | 0.12 | 1.7x | 171 | 66% |
| MACD fast=18, slow=54, signal=18 |
1.7% | -27.8% | 0.21 | 0.06 | 1.3x | 188 | 52% |
| ADX / DI 방향성 period=20, threshold=27 |
0.2% | -9.9% | 0.06 | 0.02 | 1.0x | 26 | 6% |
| Buy and hold | 15.1% | -35.0% | 0.81 | 0.43 | 10.3x | 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 7-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 7-day average falls below the 133-day average