Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI USA Min Vol Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI USA Min Vol Factor ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -33.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.2%, MDD -25.1%, Sharpe 0.64, 95% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 95% n=114, threshold=-0.1 |
7.2% | -25.1% | 0.64 | 0.29 | 2.8x | 21 | 95% |
| SMA 크로스오버 fast=73, slow=149 |
5.4% | -33.1% | 0.52 | 0.16 | 2.2x | 21 | 79% |
| ADX / DI 방향성 period=24, threshold=38 |
0.8% | -2.5% | 0.49 | 0.30 | 1.1x | 4 | 3% |
| Donchian 채널 돌파 entryN=86, exitN=67 |
3.3% | -14.2% | 0.46 | 0.23 | 1.6x | 27 | 63% |
| EMA 크로스오버 fast=36, slow=199 |
4.4% | -25.7% | 0.45 | 0.17 | 1.9x | 17 | 85% |
| Supertrend period=26, mult=3.5 |
3.0% | -16.5% | 0.36 | 0.18 | 1.6x | 89 | 75% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.8% | -20.9% | 0.13 | 0.04 | 1.1x | 143 | 67% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=21, mult=3.9 |
0.3% | -17.1% | 0.09 | 0.02 | 1.0x | 42 | 33% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
-0.0% | -4.5% | -0.03 | -0.01 | 1.0x | 2 | 1% |
| MACD fast=17, slow=45, signal=17 |
-4.2% | -47.7% | -0.54 | -0.09 | 0.5x | 215 | 51% |
| Buy and hold | 9.5% | -33.1% | 0.75 | 0.29 | 3.8x | 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 114-day return is greater than -10%
- Sell — Sell when the 114-day return drops to -10% or below