Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core S&P U.S. Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P U.S. Growth ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.9%, MDD -19.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.0%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -25.9%, Sharpe 0.67, 70% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.2%, MDD -28.8%, exposure 70%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 6.9%, MDD -19.9%, exposure 60%).
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=16, slow=203 |
8.1% | -25.9% | 0.67 | 0.31 | 7.6x | 35 | 70% |
| EMA 크로스오버 fast=44, slow=110 |
8.2% | -28.8% | 0.67 | 0.28 | 7.7x | 29 | 70% |
| Donchian 채널 돌파 entryN=98, exitN=61 |
6.9% | -19.9% | 0.66 | 0.35 | 5.7x | 37 | 60% |
| ROC 모멘텀 n=154, threshold=-0.04 |
7.1% | -29.8% | 0.57 | 0.24 | 5.9x | 111 | 77% |
| Supertrend period=24, mult=4.5 |
4.3% | -41.6% | 0.41 | 0.10 | 3.0x | 113 | 64% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=15, mult=3.2 |
3.4% | -32.6% | 0.39 | 0.11 | 2.4x | 83 | 53% |
| MACD fast=24, slow=55, signal=39 |
1.4% | -38.4% | 0.18 | 0.04 | 1.4x | 192 | 51% |
| 볼린저 밴드 돌파 n=55, k=2.9 |
0.3% | -4.9% | 0.16 | 0.06 | 1.1x | 4 | 3% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.4% | -60.8% | 0.03 | -0.01 | 0.9x | 261 | 63% |
| ADX / DI 방향성 period=37, threshold=28 |
-0.0% | -2.9% | -0.01 | -0.00 | 1.0x | 2 | 0% |
| Buy and hold | 7.0% | -65.8% | 0.43 | 0.11 | 5.9x | 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 16-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 16-day average falls below the 203-day average