Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Infrastructure ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 1.6%, MDD -25.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.5%, drawdown -59.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.4%, MDD -27.4%, Sharpe 0.27, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 1.6%, MDD -25.5%, exposure 51%).
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=26, slow=132 |
2.4% | -27.4% | 0.27 | 0.09 | 1.6x | 43 | 62% |
| EMA 크로스오버 fast=49, slow=79 |
1.7% | -29.0% | 0.20 | 0.06 | 1.4x | 35 | 64% |
| Donchian 채널 돌파 entryN=53, exitN=38 |
1.6% | -25.5% | 0.20 | 0.06 | 1.3x | 50 | 51% |
| ROC 모멘텀 Hold-like · Exposure 96% n=31, threshold=-0.11 |
1.9% | -42.0% | 0.20 | 0.05 | 1.4x | 47 | 96% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
0.3% | -7.1% | 0.15 | 0.05 | 1.1x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=36, mult=3.6 |
0.1% | -5.9% | 0.09 | 0.03 | 1.0x | 6 | 2% |
| Supertrend period=26, mult=3.9 |
0.2% | -35.9% | 0.08 | 0.01 | 1.0x | 96 | 59% |
| MACD fast=22, slow=33, signal=16 |
-2.5% | -53.6% | -0.14 | -0.05 | 0.6x | 213 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.8% | -44.9% | -0.17 | -0.06 | 0.6x | 175 | 57% |
| ADX / DI 방향성 period=26, threshold=25 |
-0.4% | -10.3% | -0.18 | -0.04 | 0.9x | 12 | 3% |
| Buy and hold | 1.5% | -59.5% | 0.18 | 0.03 | 1.3x | 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 26-day average price crosses above the 132-day average
- Sell — Sell (to cash) when the 26-day average falls below the 132-day average