Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares S&P 500 Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 Growth ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.0%, MDD -25.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.5%, drawdown -61.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -25.7%, Sharpe 0.59, 71% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.0%, MDD -35.6%, exposure 83%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 35.6%p (CAGR 7.0%, MDD -25.7%, 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=15, slow=208 |
7.0% | -25.7% | 0.59 | 0.27 | 5.8x | 39 | 71% |
| ROC 모멘텀 n=176, threshold=-0.07 |
8.0% | -35.6% | 0.59 | 0.22 | 7.5x | 59 | 83% |
| EMA 크로스오버 fast=24, slow=173 |
6.9% | -25.7% | 0.58 | 0.27 | 5.7x | 37 | 71% |
| Donchian 채널 돌파 entryN=99, exitN=65 |
5.4% | -25.1% | 0.52 | 0.21 | 3.9x | 41 | 62% |
| Supertrend period=29, mult=4.3 |
4.6% | -30.2% | 0.44 | 0.15 | 3.3x | 108 | 67% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
0.5% | -7.5% | 0.19 | 0.06 | 1.1x | 10 | 3% |
| MACD fast=31, slow=72, signal=40 |
1.4% | -44.4% | 0.18 | 0.03 | 1.5x | 156 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=3.6 |
0.9% | -29.2% | 0.16 | 0.03 | 1.3x | 96 | 36% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.2% | -61.7% | 0.08 | 0.00 | 1.1x | 264 | 63% |
| ADX / DI 방향성 period=25, threshold=24 |
-1.0% | -24.6% | -0.26 | -0.04 | 0.8x | 38 | 5% |
| Buy and hold | 7.5% | -61.4% | 0.46 | 0.12 | 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 15-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 15-day average falls below the 208-day average