Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Aerospace & Defense ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Aerospace & Defense ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.5%, MDD -35.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.3%, drawdown -60.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -49.9%, Sharpe 0.71, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 10.2%p (CAGR 9.5%, MDD -35.1%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=16, threshold=-0.11 |
12.9% | -49.9% | 0.71 | 0.26 | 11.8x | 47 | 97% |
| Donchian 채널 돌파 entryN=81, exitN=73 |
9.5% | -35.1% | 0.69 | 0.27 | 6.3x | 25 | 70% |
| EMA 크로스오버 fast=25, slow=76 |
8.2% | -29.4% | 0.60 | 0.28 | 4.9x | 53 | 73% |
| SMA 크로스오버 fast=55, slow=174 |
7.9% | -40.3% | 0.55 | 0.20 | 4.7x | 25 | 71% |
| ADX / DI 방향성 period=38, threshold=23 |
1.0% | -10.5% | 0.30 | 0.09 | 1.2x | 10 | 5% |
| Supertrend period=28, mult=4.9 |
3.3% | -37.8% | 0.29 | 0.09 | 1.9x | 83 | 70% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=10, mult=3.8 |
2.0% | -44.1% | 0.24 | 0.05 | 1.5x | 66 | 43% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.2% | -3.2% | 0.20 | 0.05 | 1.0x | 2 | 1% |
| MACD fast=11, slow=30, signal=16 |
1.0% | -34.2% | 0.14 | 0.03 | 1.2x | 322 | 52% |
| Parabolic SAR step=0.01, maxStep=0.06 |
0.5% | -41.4% | 0.11 | 0.01 | 1.1x | 256 | 63% |
| Buy and hold | 11.3% | -60.2% | 0.58 | 0.19 | 8.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 16-day return is greater than -11%
- Sell — Sell when the 16-day return drops to -11% or below