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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.9%, MDD -11.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -29.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.4%, MDD -11.4%, Sharpe 1.06, 74% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.9%, MDD -11.9%, exposure 83%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 18.4%p (CAGR 10.9%, MDD -11.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=7, slow=139 |
10.4% | -11.4% | 1.06 | 0.91 | 2.0x | 11 | 74% |
| Donchian 채널 돌파 entryN=29, exitN=64 |
10.9% | -11.9% | 1.01 | 0.92 | 2.1x | 11 | 83% |
| SMA 크로스오버 fast=20, slow=180 |
10.2% | -15.3% | 1.01 | 0.67 | 2.0x | 7 | 73% |
| ROC 모멘텀 n=87, threshold=-0.02 |
10.0% | -13.4% | 0.96 | 0.75 | 1.9x | 21 | 79% |
| Supertrend period=18, mult=4.5 |
6.0% | -15.8% | 0.67 | 0.38 | 1.5x | 39 | 68% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=1.5 |
3.5% | -16.8% | 0.44 | 0.21 | 1.3x | 56 | 66% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
2.2% | -16.7% | 0.30 | 0.13 | 1.2x | 58 | 61% |
| ADX / DI 방향성 period=24, threshold=32 |
0.4% | -2.3% | 0.25 | 0.16 | 1.0x | 2 | 3% |
| Parabolic SAR step=0.01, maxStep=0.14 |
0.9% | -19.5% | 0.14 | 0.05 | 1.1x | 106 | 66% |
| MACD fast=18, slow=24, signal=13 |
-0.6% | -22.6% | -0.02 | -0.03 | 1.0x | 108 | 50% |
| Buy and hold | 12.2% | -29.7% | 0.82 | 0.41 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 139-day EMA
- Sell — Sell when the 7-day EMA falls below the 139-day EMA