Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Fundamental International Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Fundamental International Equity ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -25.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.2%, drawdown -44.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -25.3%, Sharpe 0.62, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 6.6%, MDD -25.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=126 |
6.6% | -25.3% | 0.62 | 0.26 | 2.3x | 19 | 60% |
| Donchian 채널 돌파 entryN=119, exitN=49 |
4.2% | -16.8% | 0.50 | 0.25 | 1.7x | 19 | 47% |
| 볼린저 밴드 돌파 n=78, k=2.5 |
2.2% | -11.0% | 0.43 | 0.20 | 1.3x | 10 | 16% |
| EMA 크로스오버 fast=35, slow=117 |
3.9% | -30.8% | 0.39 | 0.13 | 1.6x | 27 | 64% |
| ROC 모멘텀 n=144, threshold=0.04 |
2.2% | -25.9% | 0.29 | 0.09 | 1.3x | 97 | 46% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=32, mult=3.4 |
0.6% | -6.0% | 0.26 | 0.11 | 1.1x | 6 | 2% |
| Supertrend period=20, mult=4.9 |
1.6% | -30.4% | 0.19 | 0.05 | 1.2x | 57 | 64% |
| ADX / DI 방향성 period=39, threshold=12 |
0.2% | -25.2% | 0.06 | 0.01 | 1.0x | 70 | 27% |
| MACD fast=7, slow=30, signal=12 |
-4.6% | -56.2% | -0.39 | -0.08 | 0.5x | 260 | 49% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-5.5% | -55.0% | -0.44 | -0.10 | 0.5x | 244 | 58% |
| Buy and hold | 6.2% | -44.0% | 0.44 | 0.14 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 50-day average falls below the 126-day average