Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares Core S&P/ASX 200 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P/ASX 200 ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -35.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.6%, MDD -30.6%, Sharpe 0.32, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 Hold-like · Exposure 97% entryN=2, exitN=119 |
3.6% | -30.6% | 0.32 | 0.12 | 1.7x | 47 | 97% |
| ADX / DI 방향성 period=33, threshold=23 |
0.6% | -8.2% | 0.29 | 0.07 | 1.1x | 4 | 3% |
| ROC 모멘텀 n=110, threshold=-0.04 |
0.6% | -26.8% | 0.11 | 0.02 | 1.1x | 83 | 80% |
| SMA 크로스오버 fast=51, slow=214 |
0.3% | -35.6% | 0.08 | 0.01 | 1.0x | 18 | 67% |
| 볼린저 밴드 돌파 n=62, k=3 |
0.0% | -8.4% | 0.02 | 0.00 | 1.0x | 10 | 6% |
| EMA 크로스오버 fast=27, slow=215 |
-0.3% | -26.7% | 0.02 | -0.01 | 1.0x | 33 | 69% |
| Supertrend period=25, mult=3.8 |
-1.5% | -29.2% | -0.10 | -0.05 | 0.8x | 101 | 67% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=10, mult=3.1 |
-1.9% | -30.9% | -0.24 | -0.06 | 0.7x | 62 | 37% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-6.5% | -67.5% | -0.61 | -0.10 | 0.3x | 225 | 57% |
| MACD fast=19, slow=28, signal=14 |
-8.3% | -74.5% | -0.87 | -0.11 | 0.3x | 243 | 50% |
| Buy and hold | 3.7% | -35.7% | 0.32 | 0.10 | 1.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 2 days
- Sell — Sell when price breaks below the lowest low of the last 119 days