Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Select Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Select Dividend ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.9%, MDD -24.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.2%, drawdown -65.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -34.1%, Sharpe 0.51, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 4.9%, MDD -24.2%, exposure 73%).
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=50, slow=163 |
5.4% | -34.1% | 0.51 | 0.16 | 3.3x | 27 | 71% |
| EMA 크로스오버 fast=50, slow=149 |
4.9% | -24.2% | 0.49 | 0.20 | 3.0x | 21 | 73% |
| Donchian 채널 돌파 entryN=103, exitN=68 |
3.7% | -16.7% | 0.43 | 0.22 | 2.3x | 33 | 60% |
| ROC 모멘텀 Hold-like · Exposure 98% n=11, threshold=-0.08 |
5.1% | -61.1% | 0.39 | 0.08 | 3.1x | 61 | 98% |
| Supertrend period=19, mult=4.6 |
1.7% | -31.5% | 0.20 | 0.05 | 1.5x | 87 | 65% |
| ADX / DI 방향성 period=29, threshold=37 |
0.1% | -1.0% | 0.14 | 0.06 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=16, k=3.1 |
-0.0% | -3.8% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.0% | -59.8% | -0.20 | -0.05 | 0.5x | 217 | 63% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=34, mult=2.1 |
-2.7% | -50.0% | -0.27 | -0.05 | 0.5x | 139 | 46% |
| MACD fast=19, slow=31, signal=13 |
-4.5% | -69.1% | -0.33 | -0.07 | 0.3x | 325 | 50% |
| Buy and hold | 5.2% | -65.2% | 0.37 | 0.08 | 3.2x | 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 50-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 50-day average falls below the 163-day average