Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Small-Cap Equity Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Small-Cap Equity Factor ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -43.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.0%, MDD -30.8%, Sharpe 0.59, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=9, threshold=-0.09 |
10.0% | -30.8% | 0.59 | 0.33 | 3.0x | 15 | 99% |
| SMA 크로스오버 fast=27, slow=252 |
5.6% | -34.6% | 0.46 | 0.16 | 1.9x | 19 | 66% |
| EMA 크로스오버 fast=13, slow=170 |
5.4% | -31.7% | 0.44 | 0.17 | 1.8x | 27 | 70% |
| Donchian 채널 돌파 entryN=21, exitN=51 |
4.7% | -41.4% | 0.36 | 0.11 | 1.7x | 38 | 80% |
| Supertrend period=29, mult=5 |
2.9% | -24.7% | 0.27 | 0.12 | 1.4x | 52 | 68% |
| ADX / DI 방향성 period=42, threshold=19 |
0.8% | -6.2% | 0.25 | 0.14 | 1.1x | 6 | 4% |
| 볼린저 밴드 돌파 n=13, k=3.2 |
0.1% | -4.1% | 0.10 | 0.03 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.1% | -36.4% | 0.08 | 0.00 | 1.0x | 110 | 59% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=17, mult=3.6 |
-0.0% | -10.9% | 0.01 | -0.00 | 1.0x | 12 | 4% |
| MACD fast=21, slow=35, signal=16 |
-1.9% | -37.5% | -0.08 | -0.05 | 0.8x | 148 | 47% |
| Buy and hold | 9.6% | -43.1% | 0.54 | 0.22 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 9-day return is greater than -9%
- Sell — Sell when the 9-day return drops to -9% or below