Trend-Following Backtester · Guide · backtest 한국어

etf · US

Schwab Fundamental U.S. Broad Market ETF backtest

10 trend-following strategies were compared on the full daily history of Schwab Fundamental U.S. Broad Market 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 9.1%, MDD -19.3%).

Data 2013-08-15 ~ 2026-07-31daily bars 3,259 (13.0 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 10.8%, drawdown -38.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -19.3%, Sharpe 0.76, 88% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 10.7%, MDD -33.6%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 9.1%, MDD -19.3%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=24, exitN=77
9.1%-19.3%0.760.473.1x2188%
ROC 모멘텀
Hold-like · Exposure 100%
n=5, threshold=-0.11
10.7%-33.6%0.730.323.7x11100%
EMA 크로스오버
fast=46, slow=117
7.9%-23.4%0.710.342.7x1579%
SMA 크로스오버
fast=21, slow=184
7.2%-22.3%0.660.322.4x1775%
Supertrend
period=20, mult=4.9
4.2%-19.9%0.450.211.7x5568%
Keltner 채널 돌파
emaPeriod=32, atrPeriod=37, mult=3.6
2.0%-14.3%0.410.141.3x2319%
볼린저 밴드 돌파
n=30, k=3.2
1.0%-8.3%0.340.121.1x65%
ADX / DI 방향성
period=33, threshold=18
0.9%-9.2%0.270.101.1x169%
Parabolic SAR
step=0.005, maxStep=0.2
0.2%-27.9%0.070.011.0x13163%
MACD
fast=14, slow=34, signal=18
-0.5%-30.5%-0.00-0.010.9x17450%
Buy and hold10.8%-38.2%0.700.283.8x1100%
1x 2014 2016 2018 2020 2022 2024 2026 ROC 모멘텀Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -10% -19% -29% -38% 2014 2016 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -19.3% (2022-01-12 → 2022-11-03), recovered after 915 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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