Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Oil & Gas Exploration & Production ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Oil & Gas Exploration & Production ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.9%, MDD -38.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -40.1%, Sharpe 0.53, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 6.9%, MDD -38.2%, exposure 56%).
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=185 |
9.6% | -40.1% | 0.53 | 0.24 | 6.4x | 27 | 59% |
| Donchian 채널 돌파 entryN=107, exitN=90 |
7.4% | -42.7% | 0.44 | 0.17 | 4.3x | 21 | 56% |
| EMA 크로스오버 fast=53, slow=178 |
6.9% | -38.2% | 0.42 | 0.18 | 3.9x | 25 | 56% |
| Supertrend period=28, mult=3.9 |
5.1% | -46.4% | 0.34 | 0.11 | 2.8x | 105 | 53% |
| ROC 모멘텀 n=129, threshold=0.02 |
3.8% | -54.0% | 0.28 | 0.07 | 2.2x | 165 | 55% |
| 볼린저 밴드 돌파 n=48, k=2.6 |
1.9% | -33.8% | 0.24 | 0.06 | 1.5x | 34 | 14% |
| MACD fast=12, slow=56, signal=13 |
0.8% | -62.9% | 0.15 | 0.01 | 1.2x | 293 | 52% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=15, mult=1.8 |
0.6% | -49.8% | 0.12 | 0.01 | 1.1x | 119 | 42% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.8% | -68.3% | 0.08 | -0.01 | 0.8x | 185 | 53% |
| ADX / DI 방향성 period=25, threshold=37 |
0.1% | -10.4% | 0.05 | 0.01 | 1.0x | 2 | 0% |
| Buy and hold | 4.9% | -80.8% | 0.31 | 0.06 | 2.7x | 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 185-day average
- Sell — Sell (to cash) when the 24-day average falls below the 185-day average