Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Clean Energy ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Clean Energy ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -10.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -88.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.9%, MDD -10.8%, Sharpe 0.61, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 5.4%, MDD -27.6%, exposure 16%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 77.6%p (CAGR 3.9%, MDD -10.8%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=39, k=3.3 |
3.9% | -10.8% | 0.61 | 0.36 | 2.0x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=4 |
5.4% | -27.6% | 0.57 | 0.20 | 2.6x | 30 | 16% |
| Donchian 채널 돌파 entryN=85, exitN=39 |
4.6% | -48.1% | 0.37 | 0.10 | 2.3x | 32 | 36% |
| Supertrend period=29, mult=4.8 |
3.6% | -50.3% | 0.29 | 0.07 | 1.9x | 68 | 50% |
| EMA 크로스오버 fast=12, slow=246 |
3.3% | -57.1% | 0.28 | 0.06 | 1.8x | 30 | 39% |
| SMA 크로스오버 fast=57, slow=210 |
2.4% | -56.3% | 0.22 | 0.04 | 1.5x | 27 | 45% |
| ADX / DI 방향성 period=17, threshold=33 |
1.3% | -18.1% | 0.22 | 0.07 | 1.3x | 32 | 5% |
| ROC 모멘텀 n=112, threshold=0.09 |
1.3% | -46.0% | 0.16 | 0.03 | 1.3x | 156 | 28% |
| MACD fast=13, slow=70, signal=14 |
-0.7% | -55.3% | 0.08 | -0.01 | 0.9x | 219 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.8% | -74.7% | -0.10 | -0.05 | 0.5x | 161 | 51% |
| Buy and hold | -6.0% | -88.4% | -0.03 | -0.07 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 39-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 39-day middle average