Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares ESG Aware MSCI USA ETF backtest
10 trend-following strategies were compared on the full daily history of iShares ESG Aware MSCI USA ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.6%, drawdown -33.9%).
Sharpe leader (same as main): Supertrend — CAGR 9.9%, MDD -17.6%, Sharpe 0.97, 66% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.7%, MDD -32.1%, exposure 87%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.8 |
9.9% | -17.6% | 0.97 | 0.57 | 2.5x | 39 | 66% |
| Donchian 채널 돌파 entryN=20, exitN=69 |
11.7% | -32.1% | 0.89 | 0.37 | 2.9x | 17 | 87% |
| EMA 크로스오버 fast=17, slow=81 |
10.1% | -25.5% | 0.87 | 0.40 | 2.5x | 23 | 76% |
| SMA 크로스오버 fast=15, slow=87 |
7.8% | -22.9% | 0.69 | 0.34 | 2.1x | 29 | 74% |
| ROC 모멘텀 n=90, threshold=-0.04 |
7.2% | -27.4% | 0.59 | 0.26 | 2.0x | 47 | 82% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.2% | -18.6% | 0.52 | 0.28 | 1.6x | 91 | 68% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=19, mult=4 |
3.5% | -18.7% | 0.45 | 0.19 | 1.4x | 31 | 48% |
| 볼린저 밴드 돌파 n=54, k=1.2 |
2.3% | -27.7% | 0.29 | 0.08 | 1.3x | 67 | 61% |
| ADX / DI 방향성 period=28, threshold=43 |
0.3% | -1.4% | 0.28 | 0.18 | 1.0x | 2 | 3% |
| MACD fast=18, slow=59, signal=17 |
0.4% | -30.7% | 0.09 | 0.01 | 1.0x | 110 | 54% |
| Buy and hold | 13.6% | -33.9% | 0.79 | 0.40 | 3.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)