Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Capped Materials Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Capped Materials 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 5.2%, MDD -36.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -66.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -36.7%, Sharpe 0.36, 45% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 5.2%, MDD -36.7%, exposure 45%).
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=119, exitN=75 |
5.2% | -36.7% | 0.36 | 0.14 | 2.8x | 24 | 45% |
| SMA 크로스오버 fast=54, slow=143 |
5.1% | -58.3% | 0.34 | 0.09 | 2.8x | 34 | 60% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
1.8% | -14.3% | 0.31 | 0.13 | 1.5x | 14 | 8% |
| EMA 크로스오버 fast=50, slow=64 |
3.7% | -60.5% | 0.28 | 0.06 | 2.1x | 46 | 59% |
| ROC 모멘텀 n=148, threshold=0.01 |
3.1% | -54.7% | 0.25 | 0.06 | 1.9x | 172 | 56% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=3.4 |
0.6% | -7.5% | 0.23 | 0.07 | 1.1x | 10 | 2% |
| ADX / DI 방향성 period=19, threshold=42 |
0.2% | -3.1% | 0.20 | 0.08 | 1.1x | 2 | 0% |
| Supertrend period=33, mult=5 |
-1.5% | -70.0% | 0.02 | -0.02 | 0.7x | 98 | 53% |
| MACD fast=33, slow=85, signal=17 |
-3.9% | -70.2% | -0.11 | -0.06 | 0.4x | 184 | 50% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-8.0% | -89.0% | -0.32 | -0.09 | 0.2x | 589 | 54% |
| Buy and hold | 6.7% | -66.2% | 0.37 | 0.10 | 3.8x | 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 119 days
- Sell — Sell when price breaks below the lowest low of the last 75 days