Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Fundamental U.S. Small Company ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Fundamental U.S. Small Company ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.7%, MDD -35.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -45.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -35.7%, Sharpe 0.58, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 10.3%p (CAGR 8.7%, MDD -35.7%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=66 |
8.7% | -35.7% | 0.58 | 0.24 | 2.9x | 29 | 88% |
| ROC 모멘텀 n=50, threshold=-0.08 |
7.4% | -37.1% | 0.51 | 0.20 | 2.5x | 49 | 89% |
| EMA 크로스오버 fast=54, slow=76 |
5.4% | -27.4% | 0.45 | 0.20 | 2.0x | 25 | 71% |
| 볼린저 밴드 돌파 n=29, k=2.8 |
2.1% | -12.1% | 0.39 | 0.18 | 1.3x | 20 | 11% |
| SMA 크로스오버 fast=27, slow=153 |
4.5% | -29.1% | 0.38 | 0.15 | 1.8x | 21 | 69% |
| Supertrend period=27, mult=5 |
3.7% | -28.0% | 0.32 | 0.13 | 1.6x | 45 | 68% |
| ADX / DI 방향성 period=34, threshold=19 |
0.4% | -12.8% | 0.11 | 0.04 | 1.1x | 22 | 7% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-0.3% | -44.3% | 0.05 | -0.01 | 1.0x | 248 | 58% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=36, mult=3.6 |
-0.0% | -22.0% | 0.03 | -0.00 | 1.0x | 22 | 11% |
| MACD fast=12, slow=28, signal=16 |
-2.0% | -42.4% | -0.08 | -0.05 | 0.8x | 206 | 48% |
| Buy and hold | 8.9% | -45.9% | 0.51 | 0.19 | 3.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 66 days