Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core S&P/TSX Capped Composite Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P/TSX Capped Composite Index ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.3%, MDD -28.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.0%, drawdown -49.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.3%, MDD -26.7%, Sharpe 0.59, 67% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.3%, MDD -28.2%, exposure 93%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 22.9%p (CAGR 6.3%, MDD -28.2%, exposure 93%).
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=9, slow=122 |
5.3% | -26.7% | 0.59 | 0.20 | 3.7x | 73 | 67% |
| ROC 모멘텀 n=77, threshold=-0.11 |
6.3% | -28.2% | 0.54 | 0.22 | 4.7x | 51 | 93% |
| EMA 크로스오버 fast=33, slow=55 |
4.8% | -30.6% | 0.54 | 0.16 | 3.3x | 69 | 67% |
| Donchian 채널 돌파 entryN=45, exitN=73 |
5.0% | -27.2% | 0.53 | 0.18 | 3.5x | 43 | 73% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=8, mult=1.7 |
2.6% | -28.4% | 0.35 | 0.09 | 1.9x | 141 | 57% |
| Supertrend period=17, mult=3.7 |
2.9% | -36.3% | 0.33 | 0.08 | 2.1x | 151 | 65% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
2.4% | -26.8% | 0.33 | 0.09 | 1.8x | 125 | 52% |
| ADX / DI 방향성 period=26, threshold=31 |
0.5% | -4.1% | 0.28 | 0.11 | 1.1x | 6 | 2% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.4% | -54.6% | -0.09 | -0.03 | 0.7x | 249 | 61% |
| MACD fast=14, slow=41, signal=15 |
-2.8% | -64.3% | -0.23 | -0.04 | 0.5x | 346 | 51% |
| Buy and hold | 6.0% | -49.5% | 0.44 | 0.12 | 4.4x | 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 9-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 9-day average falls below the 122-day average