Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. Large-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. Large-Cap 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 12.5%, drawdown -34.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -22.9%, Sharpe 0.73, 78% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.3%, MDD -34.7%, exposure 98%. 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=14, slow=182 |
8.1% | -22.9% | 0.73 | 0.36 | 3.7x | 25 | 78% |
| Donchian 채널 돌파 entryN=94, exitN=60 |
7.4% | -15.9% | 0.71 | 0.46 | 3.3x | 27 | 72% |
| EMA 크로스오버 fast=40, slow=145 |
8.2% | -27.1% | 0.69 | 0.30 | 3.8x | 19 | 80% |
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.07 |
9.3% | -34.7% | 0.65 | 0.27 | 4.4x | 53 | 98% |
| Supertrend period=23, mult=4.9 |
5.8% | -24.2% | 0.57 | 0.24 | 2.6x | 63 | 71% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.6% | -27.2% | 0.38 | 0.13 | 1.8x | 159 | 67% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.7 |
0.8% | -26.0% | 0.15 | 0.03 | 1.2x | 60 | 39% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
0.5% | -28.9% | 0.10 | 0.02 | 1.1x | 102 | 56% |
| MACD fast=10, slow=51, signal=23 |
-0.2% | -35.1% | 0.02 | -0.01 | 1.0x | 220 | 53% |
| ADX / DI 방향성 period=36, threshold=23 |
-0.3% | -9.8% | -0.17 | -0.03 | 1.0x | 4 | 1% |
| Buy and hold | 12.5% | -34.3% | 0.77 | 0.36 | 7.2x | 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 14-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 14-day average falls below the 182-day average