Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Pharmaceutical ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Pharmaceutical ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -39.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.1%, MDD -41.4%, Sharpe 0.53, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% n=7, threshold=-0.09 |
8.1% | -41.4% | 0.53 | 0.20 | 4.9x | 35 | 99% |
| Donchian 채널 돌파 entryN=12, exitN=62 |
6.8% | -39.7% | 0.50 | 0.17 | 3.8x | 51 | 87% |
| EMA 크로스오버 fast=75, slow=174 |
5.4% | -52.7% | 0.45 | 0.10 | 2.9x | 21 | 67% |
| SMA 크로스오버 fast=18, slow=163 |
4.9% | -43.1% | 0.43 | 0.11 | 2.6x | 51 | 63% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
0.5% | -4.6% | 0.29 | 0.11 | 1.1x | 2 | 1% |
| MACD fast=22, slow=56, signal=29 |
1.4% | -36.9% | 0.18 | 0.04 | 1.3x | 164 | 54% |
| Supertrend period=28, mult=4.9 |
1.3% | -55.9% | 0.16 | 0.02 | 1.3x | 93 | 64% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=2.3 |
1.1% | -45.6% | 0.16 | 0.02 | 1.2x | 115 | 45% |
| ADX / DI 방향성 period=48, threshold=22 |
0.3% | -7.2% | 0.15 | 0.04 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-3.4% | -58.6% | -0.21 | -0.06 | 0.5x | 380 | 57% |
| Buy and hold | 9.4% | -39.6% | 0.57 | 0.24 | 6.2x | 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 7-day return is greater than -9%
- Sell — Sell when the 7-day return drops to -9% or below