Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core High Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core High Dividend ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.9%, MDD -28.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -37.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.9%, MDD -28.0%, Sharpe 0.54, 93% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 9.0%p (CAGR 5.9%, MDD -28.0%, exposure 93%).
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 n=122, threshold=-0.09 |
5.9% | -28.0% | 0.54 | 0.21 | 2.4x | 17 | 93% |
| EMA 크로스오버 fast=59, slow=181 |
3.7% | -27.2% | 0.41 | 0.14 | 1.7x | 15 | 77% |
| SMA 크로스오버 fast=54, slow=217 |
3.4% | -27.7% | 0.37 | 0.12 | 1.7x | 17 | 73% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
0.4% | -3.5% | 0.36 | 0.11 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=87, exitN=79 |
2.8% | -20.2% | 0.35 | 0.14 | 1.5x | 21 | 67% |
| Supertrend period=29, mult=3.3 |
0.6% | -24.9% | 0.11 | 0.02 | 1.1x | 99 | 66% |
| MACD fast=18, slow=28, signal=15 |
0.5% | -22.6% | 0.10 | 0.02 | 1.1x | 189 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.5% | -24.6% | 0.10 | 0.02 | 1.1x | 145 | 61% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=19, mult=3.8 |
-0.6% | -22.9% | -0.13 | -0.03 | 0.9x | 30 | 15% |
| ADX / DI 방향성 period=26, threshold=24 |
-0.9% | -17.6% | -0.30 | -0.05 | 0.9x | 22 | 5% |
| Buy and hold | 7.0% | -37.0% | 0.53 | 0.19 | 2.8x | 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 122-day return is greater than -9%
- Sell — Sell when the 122-day return drops to -9% or below