Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Capped Energy Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Capped Energy Index ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.7%, MDD -38.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -90.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -43.9%, Sharpe 0.46, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 46.7%p (CAGR 5.7%, MDD -38.5%, exposure 46%).
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=27, slow=178 |
7.0% | -43.9% | 0.46 | 0.16 | 5.5x | 45 | 58% |
| Donchian 채널 돌파 entryN=101, exitN=55 |
5.7% | -38.5% | 0.42 | 0.15 | 4.0x | 39 | 46% |
| EMA 크로스오버 fast=70, slow=88 |
5.6% | -53.0% | 0.39 | 0.11 | 4.0x | 49 | 59% |
| ROC 모멘텀 n=147, threshold=0 |
5.4% | -70.3% | 0.37 | 0.08 | 3.8x | 183 | 60% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
3.3% | -23.0% | 0.35 | 0.14 | 2.3x | 40 | 18% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=7, mult=3.6 |
1.8% | -57.1% | 0.20 | 0.03 | 1.6x | 85 | 32% |
| Supertrend period=10, mult=4.5 |
1.8% | -46.3% | 0.19 | 0.04 | 1.6x | 123 | 53% |
| ADX / DI 방향성 period=39, threshold=17 |
1.3% | -27.2% | 0.18 | 0.05 | 1.4x | 50 | 13% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.7% | -79.9% | 0.01 | -0.02 | 0.6x | 235 | 53% |
| MACD fast=14, slow=44, signal=17 |
-2.8% | -85.3% | -0.04 | -0.03 | 0.5x | 323 | 52% |
| Buy and hold | 5.8% | -90.6% | 0.34 | 0.06 | 4.2x | 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 27-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 27-day average falls below the 178-day average