Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Medical Devices ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Medical Devices ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.0%, MDD -27.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -49.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -27.7%, Sharpe 0.73, 71% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.0%, MDD -31.8%, exposure 85%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 22.0%p (CAGR 9.0%, MDD -27.7%, exposure 71%).
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=10, slow=116 |
9.0% | -27.7% | 0.73 | 0.32 | 5.7x | 55 | 71% |
| Donchian 채널 돌파 entryN=20, exitN=76 |
9.0% | -31.8% | 0.64 | 0.28 | 5.8x | 35 | 85% |
| EMA 크로스오버 fast=27, slow=81 |
7.8% | -24.3% | 0.63 | 0.32 | 4.6x | 51 | 73% |
| Supertrend period=18, mult=5 |
6.2% | -32.7% | 0.56 | 0.19 | 3.4x | 65 | 62% |
| ROC 모멘텀 n=113, threshold=-0.02 |
5.6% | -30.3% | 0.46 | 0.18 | 3.0x | 115 | 76% |
| 볼린저 밴드 돌파 n=22, k=3.2 |
0.3% | -2.0% | 0.33 | 0.16 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.4 |
1.2% | -21.3% | 0.18 | 0.05 | 1.3x | 79 | 39% |
| ADX / DI 방향성 period=30, threshold=36 |
0.1% | -1.1% | 0.10 | 0.05 | 1.0x | 2 | 0% |
| MACD fast=24, slow=72, signal=16 |
0.3% | -34.2% | 0.08 | 0.01 | 1.1x | 201 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.5% | -50.7% | -0.05 | -0.03 | 0.7x | 207 | 62% |
| Buy and hold | 9.7% | -49.7% | 0.57 | 0.20 | 6.6x | 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 10-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 10-day average falls below the 116-day average