Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core Equity ETF Portfolio Trust Units backtest
10 trend-following strategies were compared on the full daily history of iShares Core Equity ETF Portfolio Trust Units. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.1%, MDD -12.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -29.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -15.3%, Sharpe 1.03, 73% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.1%, MDD -12.0%, exposure 83%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 14.4%p (CAGR 11.1%, MDD -12.0%, exposure 83%).
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=20, slow=180 |
10.6% | -15.3% | 1.03 | 0.69 | 2.0x | 7 | 73% |
| Donchian 채널 돌파 entryN=29, exitN=64 |
11.1% | -12.0% | 1.03 | 0.93 | 2.1x | 11 | 83% |
| EMA 크로스오버 fast=7, slow=139 |
9.9% | -14.8% | 1.00 | 0.67 | 1.9x | 15 | 74% |
| ROC 모멘텀 n=87, threshold=-0.02 |
9.6% | -15.1% | 0.93 | 0.64 | 1.9x | 21 | 79% |
| Supertrend period=18, mult=4.5 |
6.3% | -15.8% | 0.70 | 0.40 | 1.5x | 39 | 69% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=1.5 |
3.7% | -16.6% | 0.47 | 0.22 | 1.3x | 55 | 67% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
2.5% | -16.5% | 0.34 | 0.15 | 1.2x | 57 | 61% |
| ADX / DI 방향성 period=24, threshold=32 |
0.1% | -4.0% | 0.09 | 0.03 | 1.0x | 4 | 3% |
| Parabolic SAR step=0.01, maxStep=0.14 |
0.0% | -24.0% | 0.05 | 0.00 | 1.0x | 107 | 66% |
| MACD fast=18, slow=24, signal=13 |
-1.1% | -23.7% | -0.08 | -0.04 | 0.9x | 110 | 50% |
| Buy and hold | 12.5% | -29.7% | 0.84 | 0.42 | 2.3x | 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 20-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 20-day average falls below the 180-day average