Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares NASDAQ 100 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares NASDAQ 100 UCITS ETF. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 14.3%, MDD -16.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -37.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 14.3%, MDD -16.2%, Sharpe 0.99, 65% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.9%, MDD -29.2%, exposure 73%.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 21.5%p (CAGR 14.3%, MDD -16.2%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.04 |
14.3% | -16.2% | 0.99 | 0.89 | 2.9x | 54 | 65% |
| EMA 크로스오버 fast=33, slow=105 |
14.3% | -24.2% | 0.90 | 0.59 | 2.9x | 9 | 76% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=1.9 |
10.7% | -17.5% | 0.89 | 0.61 | 2.2x | 46 | 53% |
| SMA 크로스오버 fast=55, slow=201 |
14.9% | -29.2% | 0.88 | 0.51 | 3.0x | 7 | 73% |
| ROC 모멘텀 n=118, threshold=0.03 |
13.1% | -17.1% | 0.87 | 0.76 | 2.6x | 35 | 70% |
| 볼린저 밴드 돌파 n=32, k=1.4 |
10.4% | -19.0% | 0.87 | 0.54 | 2.2x | 54 | 52% |
| Supertrend period=10, mult=3.1 |
11.2% | -14.0% | 0.84 | 0.80 | 2.3x | 68 | 62% |
| Donchian 채널 돌파 entryN=21, exitN=72 |
14.2% | -39.3% | 0.83 | 0.36 | 2.9x | 13 | 85% |
| MACD fast=19, slow=52, signal=11 |
6.0% | -23.8% | 0.50 | 0.25 | 1.6x | 110 | 53% |
| ADX / DI 방향성 period=37, threshold=11 |
1.1% | -32.3% | 0.16 | 0.04 | 1.1x | 72 | 38% |
| Buy and hold | 16.0% | -37.7% | 0.79 | 0.43 | 3.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots