Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares S&P 500 Utilities Sector UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 Utilities Sector UCITS ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.3%, MDD -24.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.3%, drawdown -35.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -35.7%, Sharpe 0.53, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by -0.0%p (CAGR 6.3%, MDD -24.5%, exposure 67%).
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=50, slow=223 |
7.8% | -35.7% | 0.53 | 0.22 | 2.0x | 9 | 61% |
| Donchian 채널 돌파 entryN=52, exitN=76 |
6.3% | -24.5% | 0.47 | 0.26 | 1.8x | 12 | 67% |
| EMA 크로스오버 fast=72, slow=206 |
6.2% | -35.7% | 0.43 | 0.17 | 1.8x | 7 | 65% |
| Supertrend period=25, mult=3.2 |
3.2% | -31.4% | 0.28 | 0.10 | 1.3x | 80 | 56% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=1.7 |
2.1% | -21.1% | 0.22 | 0.10 | 1.2x | 56 | 48% |
| ROC 모멘텀 n=124, threshold=0.04 |
2.1% | -36.8% | 0.22 | 0.06 | 1.2x | 66 | 49% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.6% | -38.1% | 0.11 | 0.02 | 1.1x | 76 | 54% |
| 볼린저 밴드 돌파 n=34, k=2.6 |
0.1% | -25.9% | 0.06 | 0.00 | 1.0x | 34 | 22% |
| MACD fast=15, slow=53, signal=19 |
-0.1% | -37.0% | 0.06 | -0.00 | 1.0x | 98 | 53% |
| ADX / DI 방향성 period=14, threshold=30 |
-1.4% | -17.1% | -0.11 | -0.08 | 0.9x | 48 | 16% |
| Buy and hold | 6.3% | -35.7% | 0.40 | 0.18 | 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 50-day average price crosses above the 223-day average
- Sell — Sell (to cash) when the 50-day average falls below the 223-day average