Trend-Following Backtester · Guide · backtest 한국어

etf · US

Schwab U.S. Mid Cap ETF backtest

10 trend-following strategies were compared on the full daily history of Schwab U.S. Mid Cap ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2011-01-13 ~ 2026-07-31daily bars 3,909 (15.5 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.5%, drawdown -42.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -18.8%, Sharpe 0.62, 70% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 7.2%, MDD -40.4%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=78, exitN=90
6.8%-18.8%0.620.362.8x1770%
SMA 크로스오버
fast=9, slow=243
7.0%-21.5%0.610.332.9x2574%
EMA 크로스오버
fast=30, slow=139
6.6%-22.0%0.580.302.7x1973%
ROC 모멘텀
Hold-like · Exposure 97%
n=32, threshold=-0.12
7.2%-40.4%0.500.183.0x3797%
Supertrend
period=28, mult=4.7
4.5%-21.6%0.410.212.0x6368%
Parabolic SAR
step=0.01, maxStep=0.1
0.5%-28.6%0.100.021.1x22861%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=19, mult=1.9
0.1%-24.6%0.060.011.0x10453%
볼린저 밴드 돌파
n=47, k=1
-1.2%-38.0%-0.06-0.030.8x13655%
MACD
fast=9, slow=28, signal=16
-2.8%-38.5%-0.18-0.070.6x28449%
ADX / DI 방향성
period=34, threshold=17
-0.9%-16.7%-0.19-0.050.9x286%
Buy and hold9.5%-42.4%0.570.224.1x1100%
1x 2012 2014 2016 2018 2020 2022 2024 2026 ROC 모멘텀Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -11% -21% -32% -42% 2012 2014 2016 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -18.8% (2021-11-16 → 2024-01-17), recovered after 1,105 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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