Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core Dividend Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Dividend Growth ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -35.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.4%, MDD -20.7%, Sharpe 0.78, 99% 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 99% n=17, threshold=-0.11 |
10.4% | -20.7% | 0.78 | 0.50 | 3.4x | 7 | 99% |
| Donchian 채널 돌파 entryN=79, exitN=70 |
5.4% | -13.9% | 0.62 | 0.39 | 1.9x | 17 | 65% |
| SMA 크로스오버 fast=17, slow=191 |
6.0% | -22.0% | 0.60 | 0.27 | 2.0x | 21 | 75% |
| EMA 크로스오버 fast=12, slow=60 |
5.0% | -16.7% | 0.54 | 0.30 | 1.8x | 53 | 73% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.0% | -18.5% | 0.36 | 0.16 | 1.4x | 115 | 64% |
| Supertrend period=19, mult=4.6 |
2.4% | -20.6% | 0.29 | 0.11 | 1.3x | 57 | 67% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
0.3% | -4.5% | 0.28 | 0.07 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=11, mult=2 |
0.2% | -25.9% | 0.07 | 0.01 | 1.0x | 71 | 58% |
| MACD fast=14, slow=26, signal=19 |
-0.2% | -22.5% | 0.03 | -0.01 | 1.0x | 178 | 51% |
| ADX / DI 방향성 period=32, threshold=22 |
-0.8% | -10.9% | -0.28 | -0.07 | 0.9x | 12 | 5% |
| Buy and hold | 9.9% | -35.1% | 0.67 | 0.28 | 3.2x | 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 17-day return is greater than -11%
- Sell — Sell when the 17-day return drops to -11% or below