Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core Growth ETF Portfolio backtest
10 trend-following strategies were compared on the full daily history of iShares Core Growth ETF Portfolio. 3 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 3.5%, MDD -13.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.5%, drawdown -50.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.5%, MDD -13.3%, Sharpe 0.48, 60% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -21.1%, exposure 70%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 3.5%, MDD -13.3%, exposure 60%).
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=68, exitN=71 |
3.5% | -13.3% | 0.48 | 0.27 | 1.9x | 27 | 60% |
| EMA 크로스오버 fast=28, slow=158 |
3.8% | -18.0% | 0.47 | 0.21 | 2.0x | 25 | 71% |
| SMA 크로스오버 fast=19, slow=212 |
3.8% | -21.1% | 0.46 | 0.18 | 2.1x | 23 | 70% |
| ROC 모멘텀 n=80, threshold=-0.03 |
1.2% | -34.9% | 0.17 | 0.03 | 1.2x | 125 | 79% |
| ADX / DI 방향성 period=36, threshold=30 |
0.0% | -1.7% | 0.02 | 0.01 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=29, k=3.1 |
-0.0% | -3.5% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.5 |
-0.6% | -28.4% | -0.06 | -0.02 | 0.9x | 87 | 43% |
| Supertrend period=29, mult=3.8 |
-3.4% | -63.5% | -0.21 | -0.05 | 0.5x | 171 | 67% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.7% | -64.8% | -0.45 | -0.07 | 0.4x | 171 | 60% |
| MACD fast=18, slow=25, signal=18 |
-6.5% | -73.2% | -0.74 | -0.09 | 0.3x | 276 | 50% |
| Buy and hold | 3.5% | -50.1% | 0.28 | 0.07 | 1.9x | 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 68 days
- Sell — Sell when price breaks below the lowest low of the last 71 days