Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares NASDAQ 100 Index ETF (CAD-Hedged) backtest
10 trend-following strategies were compared on the full daily history of iShares NASDAQ 100 Index ETF (CAD-Hedged). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -29.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -38.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.6%, MDD -32.1%, Sharpe 0.84, 91% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 6.6%p (CAGR 12.7%, MDD -29.1%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=153, threshold=-0.1 |
14.6% | -32.1% | 0.84 | 0.45 | 8.0x | 27 | 91% |
| SMA 크로스오버 fast=46, slow=139 |
12.7% | -29.1% | 0.80 | 0.44 | 6.2x | 19 | 78% |
| EMA 크로스오버 fast=12, slow=107 |
11.3% | -24.3% | 0.78 | 0.46 | 5.1x | 41 | 79% |
| Supertrend period=24, mult=5 |
9.4% | -18.3% | 0.78 | 0.51 | 3.9x | 64 | 65% |
| Donchian 채널 돌파 entryN=13, exitN=49 |
11.4% | -40.4% | 0.74 | 0.28 | 5.1x | 48 | 86% |
| MACD fast=20, slow=74, signal=30 |
6.0% | -31.8% | 0.55 | 0.19 | 2.4x | 118 | 54% |
| 볼린저 밴드 돌파 n=55, k=1.4 |
4.5% | -26.7% | 0.44 | 0.17 | 1.9x | 88 | 57% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.8% | -29.3% | 0.42 | 0.16 | 2.0x | 150 | 65% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=2.2 |
3.6% | -24.7% | 0.36 | 0.15 | 1.7x | 98 | 57% |
| ADX / DI 방향성 period=32, threshold=15 |
1.6% | -18.3% | 0.24 | 0.09 | 1.3x | 74 | 24% |
| Buy and hold | 16.0% | -38.7% | 0.82 | 0.41 | 9.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 153-day return is greater than -10%
- Sell — Sell when the 153-day return drops to -10% or below