Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Capped REIT Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Capped REIT Index ETF. 4 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 3.2%, MDD -17.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.1%, drawdown -62.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.2%, MDD -17.8%, Sharpe 0.43, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 3.2%, MDD -17.8%, exposure 48%).
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=64, exitN=34 |
3.2% | -17.8% | 0.43 | 0.18 | 2.1x | 66 | 48% |
| EMA 크로스오버 fast=7, slow=88 |
3.2% | -25.1% | 0.38 | 0.13 | 2.1x | 102 | 61% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
1.6% | -16.4% | 0.36 | 0.10 | 1.5x | 26 | 15% |
| ROC 모멘텀 n=119, threshold=-0.05 |
3.1% | -36.2% | 0.33 | 0.09 | 2.1x | 89 | 77% |
| SMA 크로스오버 fast=9, slow=113 |
2.4% | -28.2% | 0.30 | 0.09 | 1.8x | 82 | 61% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=25, mult=3.3 |
1.8% | -15.3% | 0.28 | 0.12 | 1.5x | 78 | 39% |
| Supertrend period=15, mult=5 |
1.1% | -34.3% | 0.17 | 0.03 | 1.3x | 94 | 57% |
| ADX / DI 방향성 period=36, threshold=9 |
-0.5% | -43.3% | -0.02 | -0.01 | 0.9x | 236 | 49% |
| Parabolic SAR step=0.01, maxStep=0.4 |
-1.4% | -51.0% | -0.08 | -0.03 | 0.7x | 320 | 58% |
| MACD fast=13, slow=29, signal=12 |
-2.5% | -59.3% | -0.19 | -0.04 | 0.5x | 374 | 51% |
| Buy and hold | 2.1% | -62.0% | 0.21 | 0.03 | 1.6x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 34 days