Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares S&P 500 Information Technology Sector UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 Information Technology Sector UCITS ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 19.0%, MDD -19.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 20.6%, drawdown -41.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.5%, MDD -31.9%, Sharpe 1.16, 90% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 23.9%, MDD -28.1%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 9.5%p (CAGR 19.0%, MDD -19.2%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=78 |
22.5% | -31.9% | 1.16 | 0.70 | 8.9x | 13 | 90% |
| ROC 모멘텀 Hold-like · Exposure 96% n=35, threshold=-0.13 |
23.9% | -28.1% | 1.15 | 0.85 | 10.0x | 25 | 96% |
| EMA 크로스오버 fast=6, slow=105 |
19.0% | -19.2% | 1.10 | 0.99 | 6.5x | 31 | 77% |
| SMA 크로스오버 fast=10, slow=125 |
18.2% | -29.5% | 1.05 | 0.62 | 6.1x | 21 | 78% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=25, mult=1.2 |
15.4% | -15.8% | 1.01 | 0.97 | 4.7x | 59 | 70% |
| Supertrend period=24, mult=3.9 |
14.8% | -22.2% | 1.00 | 0.67 | 4.4x | 65 | 64% |
| Parabolic SAR step=0.005, maxStep=0.1 |
12.9% | -23.8% | 0.86 | 0.54 | 3.7x | 95 | 61% |
| ADX / DI 방향성 period=35, threshold=10 |
11.5% | -27.4% | 0.83 | 0.42 | 3.2x | 99 | 57% |
| MACD fast=18, slow=50, signal=19 |
9.5% | -22.6% | 0.74 | 0.42 | 2.6x | 114 | 50% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
9.5% | -21.3% | 0.72 | 0.45 | 2.7x | 72 | 57% |
| Buy and hold | 20.6% | -41.4% | 0.91 | 0.50 | 7.5x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 78 days