Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares S&P 500 Energy Sector UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 Energy Sector UCITS ETF. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -15.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.5%, drawdown -63.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -29.8%, Sharpe 0.64, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 6.1%, MDD -15.4%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=67, exitN=53 |
10.7% | -29.8% | 0.64 | 0.36 | 3.0x | 19 | 52% |
| Supertrend period=21, mult=4.8 |
10.4% | -38.1% | 0.59 | 0.27 | 2.9x | 53 | 57% |
| 볼린저 밴드 돌파 n=55, k=3 |
6.1% | -15.4% | 0.56 | 0.40 | 1.9x | 16 | 18% |
| SMA 크로스오버 fast=44, slow=130 |
8.1% | -37.5% | 0.51 | 0.22 | 2.3x | 23 | 55% |
| EMA 크로스오버 fast=57, slow=95 |
7.7% | -43.1% | 0.48 | 0.18 | 2.2x | 23 | 56% |
| ROC 모멘텀 n=106, threshold=0.02 |
6.8% | -46.5% | 0.44 | 0.15 | 2.0x | 80 | 55% |
| MACD fast=19, slow=49, signal=12 |
6.0% | -37.3% | 0.40 | 0.16 | 1.9x | 127 | 52% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=17, mult=2.1 |
5.3% | -34.8% | 0.39 | 0.15 | 1.8x | 55 | 45% |
| ADX / DI 방향성 period=10, threshold=36 |
2.1% | -19.9% | 0.29 | 0.11 | 1.3x | 44 | 10% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.7% | -51.0% | 0.09 | -0.01 | 0.9x | 99 | 53% |
| Buy and hold | 6.5% | -63.9% | 0.37 | 0.10 | 2.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 67 days
- Sell — Sell when price breaks below the lowest low of the last 53 days