Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Capped Financials Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Capped Financials Index ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.8%, MDD -29.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -58.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -29.4%, Sharpe 0.66, 75% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 6.8%, MDD -29.4%, exposure 75%).
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 entryN=26, exitN=51 |
6.8% | -29.4% | 0.66 | 0.23 | 5.3x | 67 | 75% |
| EMA 크로스오버 fast=19, slow=163 |
6.1% | -27.9% | 0.65 | 0.22 | 4.5x | 47 | 71% |
| SMA 크로스오버 fast=11, slow=148 |
5.8% | -30.3% | 0.63 | 0.19 | 4.2x | 67 | 67% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=24, mult=2.9 |
4.6% | -21.1% | 0.58 | 0.22 | 3.1x | 86 | 50% |
| 볼린저 밴드 돌파 n=70, k=1.4 |
4.7% | -24.6% | 0.58 | 0.19 | 3.2x | 100 | 54% |
| Supertrend period=10, mult=5 |
5.1% | -36.6% | 0.54 | 0.14 | 3.6x | 90 | 61% |
| ROC 모멘텀 n=182, threshold=0.06 |
3.7% | -24.6% | 0.49 | 0.15 | 2.5x | 143 | 52% |
| ADX / DI 방향성 period=28, threshold=26 |
1.2% | -9.5% | 0.38 | 0.12 | 1.3x | 30 | 12% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.2% | -58.1% | 0.07 | 0.00 | 1.0x | 238 | 61% |
| MACD fast=29, slow=56, signal=15 |
-0.5% | -50.5% | 0.00 | -0.01 | 0.9x | 254 | 51% |
| Buy and hold | 8.1% | -58.9% | 0.53 | 0.14 | 7.2x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 51 days