Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell 1000 Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell 1000 Value ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.0%, MDD -21.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -61.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.0%, MDD -21.8%, Sharpe 0.49, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 40.1%p (CAGR 5.0%, MDD -21.8%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=29, slow=163 |
5.0% | -21.8% | 0.49 | 0.23 | 3.6x | 35 | 71% |
| SMA 크로스오버 fast=39, slow=206 |
4.6% | -37.2% | 0.43 | 0.12 | 3.3x | 33 | 71% |
| Donchian 채널 돌파 entryN=73, exitN=79 |
3.8% | -24.7% | 0.40 | 0.15 | 2.7x | 39 | 67% |
| ROC 모멘텀 n=144, threshold=-0.04 |
3.5% | -36.7% | 0.35 | 0.10 | 2.5x | 115 | 78% |
| Supertrend period=8, mult=4.7 |
1.6% | -30.8% | 0.21 | 0.05 | 1.5x | 103 | 54% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
0.1% | -4.4% | 0.16 | 0.03 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=27, threshold=35 |
0.1% | -2.6% | 0.09 | 0.02 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=1.3 |
-1.0% | -40.5% | -0.06 | -0.02 | 0.8x | 235 | 54% |
| MACD fast=13, slow=64, signal=35 |
-1.6% | -47.4% | -0.09 | -0.03 | 0.7x | 256 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.9% | -65.7% | -0.17 | -0.04 | 0.5x | 259 | 63% |
| Buy and hold | 5.9% | -61.9% | 0.40 | 0.10 | 4.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 29-day EMA crosses above the 163-day EMA
- Sell — Sell when the 29-day EMA falls below the 163-day EMA