Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Regional Banks ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Regional Banks ETF. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.8%, MDD -12.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.0%, drawdown -78.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.8%, MDD -12.3%, Sharpe 0.38, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.3%, MDD -48.5%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR 1.8%, MDD -12.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3.5 |
1.8% | -12.3% | 0.38 | 0.15 | 1.5x | 6 | 4% |
| SMA 크로스오버 fast=55, slow=140 |
4.3% | -48.5% | 0.33 | 0.09 | 2.3x | 35 | 57% |
| EMA 크로스오버 fast=41, slow=146 |
3.6% | -37.8% | 0.30 | 0.10 | 2.1x | 35 | 59% |
| ROC 모멘텀 n=129, threshold=-0.04 |
3.5% | -44.2% | 0.28 | 0.08 | 2.0x | 127 | 65% |
| Supertrend period=26, mult=4.3 |
3.7% | -41.0% | 0.28 | 0.09 | 2.1x | 81 | 56% |
| Donchian 채널 돌파 entryN=24, exitN=103 |
3.7% | -58.7% | 0.27 | 0.06 | 2.1x | 33 | 83% |
| MACD fast=18, slow=32, signal=14 |
-1.4% | -71.1% | 0.05 | -0.02 | 0.7x | 260 | 52% |
| ADX / DI 방향성 period=42, threshold=24 |
0.1% | -4.9% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.9% | -61.5% | 0.02 | -0.03 | 0.7x | 180 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=1.6 |
-1.4% | -58.9% | -0.00 | -0.02 | 0.8x | 144 | 42% |
| Buy and hold | 1.0% | -78.8% | 0.19 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 52-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 52-day middle average