Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI USA Quality GARP ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI USA Quality GARP ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.1%, MDD -14.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.7%, drawdown -31.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.1%, MDD -16.1%, Sharpe 1.24, 70% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 20.1%, MDD -14.8%, exposure 76%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 15.2%p (CAGR 20.1%, MDD -14.8%, exposure 76%).
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=24, slow=203 |
19.1% | -16.1% | 1.24 | 1.18 | 3.2x | 5 | 70% |
| EMA 크로스오버 fast=56, slow=106 |
20.1% | -14.8% | 1.23 | 1.36 | 3.4x | 5 | 76% |
| ROC 모멘텀 n=120, threshold=0.03 |
16.9% | -16.1% | 1.11 | 1.05 | 2.8x | 19 | 71% |
| Donchian 채널 돌파 entryN=25, exitN=69 |
18.3% | -33.8% | 1.04 | 0.54 | 3.0x | 13 | 84% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=11, mult=3.1 |
10.9% | -15.4% | 0.95 | 0.71 | 2.0x | 31 | 47% |
| 볼린저 밴드 돌파 n=45, k=0.6 |
11.9% | -18.8% | 0.87 | 0.63 | 2.1x | 53 | 64% |
| Supertrend period=29, mult=3.2 |
13.2% | -31.0% | 0.86 | 0.43 | 2.3x | 73 | 67% |
| Parabolic SAR step=0.01, maxStep=0.16 |
8.2% | -28.6% | 0.61 | 0.29 | 1.7x | 89 | 64% |
| ADX / DI 방향성 period=20, threshold=29 |
1.9% | -8.3% | 0.41 | 0.22 | 1.1x | 8 | 8% |
| MACD fast=19, slow=27, signal=18 |
4.7% | -33.1% | 0.40 | 0.14 | 1.4x | 87 | 51% |
| Buy and hold | 19.7% | -31.3% | 0.87 | 0.63 | 3.3x | 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 24-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 24-day average falls below the 203-day average