Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares NASDAQ - 100 UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares NASDAQ - 100 UCITS ETF (DE). 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.8%, MDD -28.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.1%, drawdown -59.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.8%, MDD -28.6%, Sharpe 0.87, 77% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 15.2%, MDD -38.8%, exposure 92%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 14.8%, MDD -28.6%, exposure 77%).
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=77, slow=230 |
14.8% | -28.6% | 0.87 | 0.52 | 12.9x | 13 | 77% |
| ROC 모멘텀 n=130, threshold=-0.14 |
15.2% | -38.8% | 0.83 | 0.39 | 13.9x | 33 | 92% |
| EMA 크로스오버 fast=52, slow=189 |
13.0% | -30.7% | 0.78 | 0.42 | 9.7x | 17 | 81% |
| Donchian 채널 돌파 entryN=23, exitN=59 |
12.2% | -31.5% | 0.76 | 0.39 | 8.5x | 44 | 81% |
| Keltner 채널 돌파 emaPeriod=132, atrPeriod=14, mult=1.4 |
10.2% | -25.0% | 0.71 | 0.41 | 6.1x | 73 | 71% |
| Parabolic SAR step=0.01, maxStep=0.02 |
8.9% | -21.6% | 0.63 | 0.41 | 4.9x | 100 | 69% |
| 볼린저 밴드 돌파 n=72, k=0.4 |
8.6% | -24.5% | 0.63 | 0.35 | 4.6x | 132 | 66% |
| Supertrend period=27, mult=5 |
8.4% | -43.0% | 0.58 | 0.20 | 4.5x | 82 | 66% |
| ADX / DI 방향성 period=37, threshold=14 |
1.5% | -25.7% | 0.21 | 0.06 | 1.3x | 80 | 24% |
| MACD fast=16, slow=56, signal=13 |
1.9% | -46.8% | 0.20 | 0.04 | 1.4x | 254 | 53% |
| Buy and hold | 14.1% | -59.6% | 0.70 | 0.24 | 11.5x | 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 77-day average price crosses above the 230-day average
- Sell — Sell (to cash) when the 77-day average falls below the 230-day average