Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Genomics Immunology and Healthcare ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Genomics Immunology and Healthcare ETF. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.9%, MDD -16.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.6%, drawdown -68.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.9%, MDD -26.2%, Sharpe 0.88, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 7.9%, MDD -16.5%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=50, slow=194 |
16.9% | -26.2% | 0.88 | 0.64 | 3.1x | 5 | 49% |
| SMA 크로스오버 fast=20, slow=208 |
14.4% | -22.2% | 0.80 | 0.65 | 2.6x | 7 | 49% |
| ROC 모멘텀 n=191, threshold=0.1 |
12.7% | -22.2% | 0.77 | 0.57 | 2.4x | 21 | 36% |
| Supertrend period=29, mult=4.6 |
13.1% | -25.8% | 0.70 | 0.51 | 2.4x | 23 | 54% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=3.8 |
7.9% | -16.5% | 0.62 | 0.48 | 1.7x | 13 | 24% |
| Donchian 채널 돌파 entryN=81, exitN=69 |
10.4% | -31.4% | 0.60 | 0.33 | 2.0x | 9 | 49% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
5.5% | -25.8% | 0.52 | 0.22 | 1.5x | 7 | 16% |
| ADX / DI 방향성 period=26, threshold=16 |
3.4% | -28.5% | 0.30 | 0.12 | 1.3x | 41 | 22% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.2% | -39.7% | 0.21 | 0.05 | 1.2x | 127 | 53% |
| MACD fast=15, slow=66, signal=15 |
-3.4% | -58.3% | -0.07 | -0.06 | 0.8x | 87 | 50% |
| Buy and hold | 6.6% | -68.7% | 0.36 | 0.10 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 194-day EMA
- Sell — Sell when the 50-day EMA falls below the 194-day EMA