Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core S&P 500 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core S&P 500 ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.4%, MDD -26.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.6%, drawdown -56.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -33.9%, Sharpe 0.61, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 6.4%, MDD -26.8%, 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=43, slow=254 |
7.2% | -33.9% | 0.61 | 0.21 | 6.2x | 23 | 71% |
| EMA 크로스오버 fast=44, slow=134 |
6.4% | -26.8% | 0.58 | 0.24 | 5.0x | 27 | 71% |
| Donchian 채널 돌파 entryN=95, exitN=64 |
4.5% | -28.9% | 0.48 | 0.15 | 3.1x | 43 | 61% |
| ROC 모멘텀 n=147, threshold=-0.03 |
4.1% | -31.5% | 0.39 | 0.13 | 2.8x | 125 | 77% |
| Supertrend period=15, mult=4.5 |
2.8% | -38.6% | 0.31 | 0.07 | 2.1x | 110 | 61% |
| Parabolic SAR step=0.02, maxStep=0.02 |
1.8% | -37.1% | 0.21 | 0.05 | 1.6x | 151 | 70% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=28, mult=3.6 |
0.1% | -4.3% | 0.15 | 0.03 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=36, k=2.9 |
0.1% | -9.3% | 0.06 | 0.01 | 1.0x | 4 | 1% |
| ADX / DI 방향성 period=35, threshold=29 |
-0.1% | -2.6% | -0.08 | -0.02 | 1.0x | 2 | 0% |
| MACD fast=17, slow=50, signal=23 |
-2.9% | -63.0% | -0.21 | -0.05 | 0.5x | 298 | 53% |
| Buy and hold | 6.6% | -56.5% | 0.43 | 0.12 | 5.3x | 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 43-day average price crosses above the 254-day average
- Sell — Sell (to cash) when the 43-day average falls below the 254-day average