Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Equity Factor Rotation Active ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Equity Factor Rotation Active ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.0%, MDD -12.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.5%, drawdown -34.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.3%, MDD -23.9%, Sharpe 1.00, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 10.8%p (CAGR 12.0%, MDD -12.8%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=5, slow=137 |
12.3% | -23.9% | 1.00 | 0.51 | 2.4x | 21 | 73% |
| SMA 크로스오버 fast=7, slow=218 |
12.0% | -12.8% | 0.97 | 0.94 | 2.3x | 13 | 68% |
| Donchian 채널 돌파 entryN=36, exitN=70 |
12.0% | -25.3% | 0.93 | 0.48 | 2.3x | 13 | 79% |
| ROC 모멘텀 n=156, threshold=0.03 |
9.7% | -17.7% | 0.87 | 0.54 | 2.0x | 29 | 66% |
| Supertrend period=28, mult=4.8 |
5.4% | -25.3% | 0.49 | 0.21 | 1.5x | 41 | 66% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=1.6 |
3.5% | -21.1% | 0.38 | 0.17 | 1.3x | 63 | 63% |
| Parabolic SAR step=0.01, maxStep=0.16 |
3.3% | -28.4% | 0.33 | 0.12 | 1.3x | 111 | 64% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
0.6% | -5.3% | 0.27 | 0.11 | 1.0x | 3 | 4% |
| ADX / DI 방향성 period=23, threshold=23 |
0.7% | -8.3% | 0.18 | 0.08 | 1.1x | 14 | 11% |
| MACD fast=12, slow=57, signal=15 |
0.3% | -32.0% | 0.08 | 0.01 | 1.0x | 108 | 51% |
| Buy and hold | 14.5% | -34.7% | 0.78 | 0.42 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 5-day EMA crosses above the 137-day EMA
- Sell — Sell when the 5-day EMA falls below the 137-day EMA