Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Core S&P 500 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P 500 UCITS ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.6%, MDD -20.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -38.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -24.3%, Sharpe 0.79, 83% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 9.6%, MDD -20.7%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=215 |
9.6% | -24.3% | 0.79 | 0.39 | 4.4x | 21 | 83% |
| Donchian 채널 돌파 entryN=61, exitN=79 |
9.0% | -18.3% | 0.78 | 0.49 | 4.0x | 23 | 81% |
| ROC 모멘텀 n=131, threshold=-0.04 |
9.6% | -20.7% | 0.76 | 0.46 | 4.4x | 57 | 88% |
| SMA 크로스오버 fast=15, slow=269 |
9.1% | -27.8% | 0.74 | 0.33 | 4.1x | 23 | 82% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=21, mult=3.5 |
1.9% | -28.6% | 0.25 | 0.07 | 1.4x | 73 | 56% |
| Supertrend period=33, mult=3.8 |
2.3% | -51.8% | 0.24 | 0.04 | 1.4x | 127 | 67% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
1.2% | -23.2% | 0.18 | 0.05 | 1.2x | 100 | 54% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.1% | -50.5% | 0.07 | -0.00 | 1.0x | 144 | 62% |
| MACD fast=19, slow=46, signal=23 |
-0.7% | -41.9% | 0.02 | -0.02 | 0.9x | 180 | 50% |
| ADX / DI 방향성 period=33, threshold=29 |
0.0% | -3.9% | 0.01 | 0.00 | 1.0x | 4 | 1% |
| Buy and hold | 12.0% | -38.1% | 0.73 | 0.31 | 6.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 215-day EMA
- Sell — Sell when the 19-day EMA falls below the 215-day EMA