Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab 1000 Index ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab 1000 Index 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 12.9%, drawdown -34.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -30.3%, Sharpe 0.87, 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=19, exitN=67 |
11.7% | -30.3% | 0.87 | 0.39 | 2.7x | 17 | 86% |
| Supertrend period=15, mult=5 |
8.4% | -18.0% | 0.86 | 0.47 | 2.0x | 31 | 58% |
| SMA 크로스오버 fast=6, slow=175 |
9.4% | -18.3% | 0.83 | 0.52 | 2.2x | 19 | 71% |
| EMA 크로스오버 fast=19, slow=83 |
8.5% | -24.4% | 0.74 | 0.35 | 2.1x | 23 | 74% |
| ROC 모멘텀 n=32, threshold=-0.04 |
6.5% | -38.2% | 0.53 | 0.17 | 1.8x | 81 | 86% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.6% | -21.7% | 0.46 | 0.21 | 1.5x | 89 | 66% |
| MACD fast=6, slow=92, signal=48 |
4.0% | -28.8% | 0.43 | 0.14 | 1.4x | 86 | 54% |
| 볼린저 밴드 돌파 n=45, k=0.8 |
2.6% | -27.0% | 0.31 | 0.10 | 1.3x | 79 | 61% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=2.2 |
1.9% | -23.6% | 0.25 | 0.08 | 1.2x | 53 | 54% |
| ADX / DI 방향성 period=15, threshold=9 |
-0.8% | -31.7% | -0.03 | -0.03 | 0.9x | 167 | 58% |
| Buy and hold | 12.9% | -34.8% | 0.74 | 0.37 | 2.9x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 67 days