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. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -43.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -33.4%, Sharpe 0.45, 69% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=43, slow=96 |
5.5% | -33.4% | 0.45 | 0.16 | 1.8x | 23 | 69% |
| SMA 크로스오버 fast=26, slow=187 |
4.6% | -41.1% | 0.38 | 0.11 | 1.7x | 19 | 67% |
| Donchian 채널 돌파 entryN=81, exitN=76 |
4.0% | -30.3% | 0.36 | 0.13 | 1.6x | 19 | 62% |
| ROC 모멘텀 n=39, threshold=-0.04 |
3.5% | -40.3% | 0.30 | 0.09 | 1.5x | 105 | 82% |
| Supertrend period=29, mult=5 |
3.2% | -24.7% | 0.29 | 0.13 | 1.4x | 51 | 68% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.5% | -36.4% | 0.11 | 0.01 | 1.1x | 108 | 60% |
| ADX / DI 방향성 period=39, threshold=20 |
0.3% | -6.2% | 0.10 | 0.05 | 1.0x | 10 | 3% |
| 볼린저 밴드 돌파 n=13, k=2.6 |
-0.0% | -12.7% | 0.01 | -0.00 | 1.0x | 22 | 5% |
| MACD fast=20, slow=37, signal=17 |
-1.7% | -36.3% | -0.07 | -0.05 | 0.8x | 140 | 48% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=1.3 |
-2.2% | -36.3% | -0.12 | -0.06 | 0.8x | 103 | 57% |
| Buy and hold | 10.1% | -43.1% | 0.55 | 0.23 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 96-day EMA
- Sell — Sell when the 43-day EMA falls below the 96-day EMA