Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Future AI & Tech ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Future AI & Tech ETF. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.4%, MDD -35.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -55.8%).
Sharpe leader (same as main): MACD — CAGR 12.1%, MDD -35.8%, Sharpe 0.72, 52% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.4%, MDD -35.4%, exposure 77%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 19.9%p (CAGR 14.4%, MDD -35.4%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=7, slow=103, signal=20 |
12.1% | -35.8% | 0.72 | 0.34 | 2.5x | 93 | 52% |
| ROC 모멘텀 n=184, threshold=-0.09 |
14.4% | -35.4% | 0.70 | 0.41 | 3.0x | 21 | 77% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=15, mult=0.7 |
11.2% | -33.2% | 0.68 | 0.34 | 2.4x | 95 | 56% |
| Supertrend period=28, mult=1.9 |
11.0% | -40.4% | 0.63 | 0.27 | 2.3x | 134 | 60% |
| EMA 크로스오버 fast=32, slow=145 |
11.9% | -31.6% | 0.62 | 0.38 | 2.5x | 11 | 70% |
| SMA 크로스오버 fast=4, slow=68 |
10.4% | -40.3% | 0.61 | 0.26 | 2.2x | 55 | 61% |
| 볼린저 밴드 돌파 n=33, k=1.1 |
9.2% | -31.7% | 0.61 | 0.29 | 2.1x | 73 | 48% |
| Parabolic SAR step=0.01, maxStep=0.22 |
8.9% | -43.4% | 0.55 | 0.21 | 2.0x | 111 | 56% |
| Donchian 채널 돌파 entryN=49, exitN=47 |
7.3% | -43.6% | 0.46 | 0.17 | 1.8x | 22 | 60% |
| ADX / DI 방향성 period=33, threshold=9 |
6.0% | -36.3% | 0.43 | 0.16 | 1.6x | 86 | 47% |
| Buy and hold | 15.0% | -55.8% | 0.63 | 0.27 | 3.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (7/103) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line