Trend-Following Backtester · Guide · backtest 한국어
etf · CH
iShares S&P 500 CHF Hedged UCITS ETF (Acc) backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 CHF Hedged UCITS ETF (Acc). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -35.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.0%, MDD -32.7%, Sharpe 0.70, 87% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=43, threshold=-0.04 |
8.0% | -32.7% | 0.70 | 0.24 | 2.9x | 65 | 87% |
| Donchian 채널 돌파 entryN=57, exitN=70 |
7.2% | -25.5% | 0.66 | 0.28 | 2.6x | 19 | 80% |
| SMA 크로스오버 fast=8, slow=187 |
6.5% | -23.6% | 0.63 | 0.28 | 2.4x | 31 | 77% |
| EMA 크로스오버 fast=58, slow=71 |
6.5% | -23.4% | 0.60 | 0.28 | 2.4x | 19 | 79% |
| Supertrend period=25, mult=3.9 |
2.6% | -23.5% | 0.31 | 0.11 | 1.4x | 104 | 68% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=19, mult=3.2 |
0.4% | -5.7% | 0.30 | 0.07 | 1.1x | 10 | 4% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
0.3% | -25.4% | 0.08 | 0.01 | 1.0x | 96 | 55% |
| ADX / DI 방향성 period=27, threshold=25 |
-0.0% | -11.5% | -0.00 | -0.00 | 1.0x | 14 | 5% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.3% | -39.6% | -0.08 | -0.03 | 0.8x | 232 | 63% |
| MACD fast=17, slow=50, signal=15 |
-1.9% | -36.1% | -0.16 | -0.05 | 0.8x | 184 | 52% |
| Buy and hold | 11.3% | -35.1% | 0.77 | 0.32 | 4.3x | 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 43-day return is greater than -4%
- Sell — Sell when the 43-day return drops to -4% or below