Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core S&P Mid-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P Mid-Cap ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -56.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -26.1%, Sharpe 0.47, 67% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=74, exitN=77 |
5.4% | -26.1% | 0.47 | 0.21 | 4.0x | 39 | 67% |
| EMA 크로스오버 fast=42, slow=89 |
5.3% | -29.5% | 0.46 | 0.18 | 3.9x | 51 | 71% |
| SMA 크로스오버 fast=21, slow=194 |
4.4% | -32.6% | 0.39 | 0.14 | 3.1x | 51 | 70% |
| Supertrend period=29, mult=4.7 |
4.4% | -33.0% | 0.38 | 0.13 | 3.1x | 99 | 70% |
| ROC 모멘텀 n=112, threshold=-0.03 |
2.3% | -45.3% | 0.23 | 0.05 | 1.8x | 187 | 77% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
0.5% | -28.1% | 0.12 | 0.02 | 1.1x | 38 | 15% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=2.3 |
0.2% | -45.2% | 0.07 | 0.00 | 1.1x | 150 | 45% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.4% | -37.6% | 0.04 | -0.01 | 0.9x | 258 | 63% |
| ADX / DI 방향성 period=24, threshold=20 |
-0.3% | -30.7% | -0.04 | -0.01 | 0.9x | 80 | 12% |
| MACD fast=29, slow=40, signal=22 |
-2.9% | -64.6% | -0.17 | -0.05 | 0.5x | 264 | 50% |
| Buy and hold | 8.4% | -56.1% | 0.48 | 0.15 | 8.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 74 days
- Sell — Sell when price breaks below the lowest low of the last 77 days