Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Home Construction ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Home Construction ETF. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.6%, MDD -21.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.2%, drawdown -87.1%).
Sharpe leader (same as main): Supertrend — CAGR 9.0%, MDD -46.3%, Sharpe 0.50, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 3.6%, MDD -21.7%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.9 |
9.0% | -46.3% | 0.50 | 0.19 | 5.7x | 53 | 56% |
| EMA 크로스오버 fast=25, slow=155 |
5.4% | -42.7% | 0.36 | 0.13 | 2.9x | 38 | 60% |
| Donchian 채널 돌파 entryN=26, exitN=71 |
6.1% | -65.3% | 0.36 | 0.09 | 3.3x | 45 | 76% |
| SMA 크로스오버 fast=15, slow=57 |
5.1% | -43.2% | 0.34 | 0.12 | 2.8x | 93 | 57% |
| 볼린저 밴드 돌파 n=51, k=2.6 |
3.6% | -21.7% | 0.33 | 0.17 | 2.1x | 44 | 26% |
| ADX / DI 방향성 period=26, threshold=41 |
0.5% | -3.6% | 0.29 | 0.13 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=135, threshold=-0.11 |
1.7% | -65.6% | 0.19 | 0.03 | 1.4x | 132 | 76% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=1.2 |
0.9% | -58.8% | 0.14 | 0.02 | 1.2x | 182 | 46% |
| MACD fast=25, slow=53, signal=27 |
-1.7% | -81.9% | 0.05 | -0.02 | 0.7x | 168 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.2% | -69.8% | -0.03 | -0.05 | 0.5x | 196 | 54% |
| Buy and hold | 3.2% | -87.1% | 0.26 | 0.04 | 1.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)