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 8.5%, MDD -26.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -59.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, 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 8.5%, 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 |
10.0% | -42.4% | 0.69 | 0.23 | 8.2x | 41 | 81% |
| SMA 크로스오버 fast=11, slow=205 |
8.5% | -26.6% | 0.65 | 0.32 | 6.0x | 35 | 75% |
| EMA 크로스오버 fast=59, slow=122 |
8.1% | -31.9% | 0.60 | 0.26 | 5.7x | 25 | 77% |
| Supertrend period=22, mult=4.4 |
6.7% | -24.4% | 0.58 | 0.27 | 4.2x | 117 | 64% |
| ROC 모멘텀 n=132, threshold=-0.03 |
7.5% | -36.7% | 0.56 | 0.20 | 5.0x | 101 | 80% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=12, mult=2.3 |
5.6% | -24.8% | 0.54 | 0.23 | 3.3x | 107 | 58% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
3.5% | -27.9% | 0.37 | 0.13 | 2.1x | 129 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.1% | -40.7% | 0.22 | 0.05 | 1.6x | 217 | 63% |
| MACD fast=23, slow=73, signal=18 |
1.4% | -31.6% | 0.17 | 0.04 | 1.3x | 212 | 51% |
| ADX / DI 방향성 period=32, threshold=12 |
-0.6% | -47.6% | -0.02 | -0.01 | 0.9x | 186 | 33% |
| Buy and hold | 11.1% | -59.1% | 0.60 | 0.19 | 10.2x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 68 days