Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core S&P U.S. Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P U.S. Value ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.6%, MDD -24.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -61.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.6%, MDD -24.7%, Sharpe 0.54, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 37.3%p (CAGR 5.6%, MDD -24.7%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=174 |
5.6% | -24.7% | 0.54 | 0.23 | 4.1x | 31 | 73% |
| SMA 크로스오버 fast=11, slow=192 |
5.3% | -32.2% | 0.54 | 0.17 | 3.9x | 49 | 71% |
| Donchian 채널 돌파 entryN=66, exitN=78 |
4.5% | -22.0% | 0.46 | 0.20 | 3.1x | 39 | 68% |
| ROC 모멘텀 n=162, threshold=-0.03 |
3.3% | -30.5% | 0.34 | 0.11 | 2.3x | 139 | 76% |
| 볼린저 밴드 돌파 n=62, k=3.2 |
0.7% | -4.6% | 0.33 | 0.15 | 1.2x | 2 | 2% |
| Supertrend period=12, mult=5 |
2.4% | -27.9% | 0.28 | 0.09 | 1.8x | 103 | 57% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.3% | -44.4% | 0.03 | -0.01 | 0.9x | 237 | 64% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=1.2 |
-0.6% | -34.2% | -0.01 | -0.02 | 0.9x | 243 | 56% |
| ADX / DI 방향성 period=46, threshold=25 |
-0.0% | -4.5% | -0.02 | -0.01 | 1.0x | 2 | 1% |
| MACD fast=17, slow=26, signal=15 |
-3.7% | -68.4% | -0.26 | -0.05 | 0.4x | 383 | 51% |
| Buy and hold | 6.1% | -61.9% | 0.41 | 0.10 | 4.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 174-day EMA
- Sell — Sell when the 30-day EMA falls below the 174-day EMA