Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Morningstar Mid-Cap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Morningstar Mid-Cap Growth ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -26.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -59.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -42.4%, Sharpe 0.69, 81% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 16.7%p (CAGR 8.4%, MDD -26.6%, exposure 75%).
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=33, exitN=68 |
9.9% | -42.4% | 0.69 | 0.23 | 8.0x | 41 | 81% |
| SMA 크로스오버 fast=11, slow=205 |
8.4% | -26.6% | 0.65 | 0.32 | 5.9x | 35 | 75% |
| EMA 크로스오버 fast=59, slow=122 |
8.1% | -31.9% | 0.60 | 0.25 | 5.6x | 25 | 77% |
| Supertrend period=22, mult=4.4 |
6.6% | -24.4% | 0.57 | 0.27 | 4.1x | 117 | 64% |
| ROC 모멘텀 n=132, threshold=-0.03 |
7.5% | -36.7% | 0.56 | 0.20 | 4.9x | 101 | 80% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=12, mult=2.3 |
5.5% | -24.8% | 0.54 | 0.22 | 3.3x | 107 | 58% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
3.6% | -27.9% | 0.38 | 0.13 | 2.2x | 128 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.2% | -40.7% | 0.23 | 0.05 | 1.6x | 216 | 63% |
| MACD fast=23, slow=73, signal=18 |
1.6% | -31.6% | 0.19 | 0.05 | 1.4x | 210 | 52% |
| ADX / DI 방향성 period=32, threshold=12 |
-0.6% | -47.6% | -0.02 | -0.01 | 0.9x | 186 | 33% |
| Buy and hold | 11.0% | -59.1% | 0.60 | 0.19 | 10.0x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 68 days