Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Timber & Forestry ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Timber & Forestry ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.0%, MDD -44.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.1%, drawdown -63.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -44.5%, Sharpe 0.41, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 5.0%, MDD -44.5%, exposure 58%).
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=33, slow=88 |
5.0% | -44.5% | 0.41 | 0.11 | 2.4x | 52 | 58% |
| Supertrend period=37, mult=4.7 |
4.4% | -58.3% | 0.36 | 0.08 | 2.2x | 79 | 59% |
| Donchian 채널 돌파 entryN=47, exitN=58 |
3.7% | -48.7% | 0.32 | 0.08 | 1.9x | 43 | 60% |
| EMA 크로스오버 fast=36, slow=60 |
3.5% | -48.1% | 0.31 | 0.07 | 1.8x | 48 | 57% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
0.3% | -2.7% | 0.30 | 0.10 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=112, threshold=0.11 |
1.5% | -36.5% | 0.21 | 0.04 | 1.3x | 122 | 26% |
| ADX / DI 방향성 period=14, threshold=32 |
1.0% | -25.5% | 0.17 | 0.04 | 1.2x | 44 | 6% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.2% | -56.4% | 0.00 | -0.02 | 0.8x | 175 | 55% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=8, mult=1.1 |
-1.0% | -56.7% | -0.01 | -0.02 | 0.8x | 201 | 49% |
| MACD fast=13, slow=33, signal=22 |
-3.2% | -58.5% | -0.12 | -0.06 | 0.6x | 235 | 51% |
| Buy and hold | 2.1% | -63.8% | 0.21 | 0.03 | 1.5x | 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 33-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 33-day average falls below the 88-day average