Trend-Following Backtester · Guide · backtest 한국어
etf · CH
iShares SMI(R) ETF (CH) backtest
10 trend-following strategies were compared on the full daily history of iShares SMI(R) ETF (CH). 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.6%, MDD -27.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.2%, drawdown -48.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -27.8%, Sharpe 0.36, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 3.6%, MDD -27.8%, exposure 64%).
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=58, slow=183 |
3.6% | -27.8% | 0.36 | 0.13 | 1.9x | 23 | 64% |
| ROC 모멘텀 n=126, threshold=-0.11 |
3.0% | -28.1% | 0.28 | 0.11 | 1.7x | 47 | 90% |
| EMA 크로스오버 fast=77, slow=167 |
2.0% | -28.9% | 0.23 | 0.07 | 1.5x | 23 | 64% |
| ADX / DI 방향성 period=33, threshold=28 |
0.3% | -3.4% | 0.22 | 0.09 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
0.4% | -4.0% | 0.22 | 0.09 | 1.1x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=3.5 |
0.1% | -7.8% | 0.07 | 0.02 | 1.0x | 14 | 4% |
| Supertrend period=27, mult=4.9 |
-0.1% | -44.6% | 0.05 | -0.00 | 1.0x | 83 | 68% |
| Donchian 채널 돌파 entryN=40, exitN=63 |
-0.1% | -35.8% | 0.04 | -0.00 | 1.0x | 47 | 66% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.4% | -54.8% | -0.29 | -0.06 | 0.5x | 177 | 58% |
| MACD fast=18, slow=33, signal=18 |
-4.2% | -62.0% | -0.38 | -0.07 | 0.5x | 220 | 50% |
| Buy and hold | 3.2% | -48.3% | 0.27 | 0.07 | 1.8x | 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 58-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 58-day average falls below the 183-day average