Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell 1000 Growth Fund backtest
10 trend-following strategies were compared on the full daily history of iShares Russell 1000 Growth Fund. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.3%, MDD -25.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.1%, drawdown -66.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -25.3%, Sharpe 0.69, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 8.3%, MDD -25.3%, exposure 70%).
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=13, slow=209 |
8.3% | -25.3% | 0.69 | 0.33 | 8.1x | 33 | 70% |
| EMA 크로스오버 fast=48, slow=105 |
8.3% | -28.7% | 0.67 | 0.29 | 8.0x | 29 | 70% |
| Keltner 채널 돌파 emaPeriod=177, atrPeriod=5, mult=2.4 |
6.4% | -26.5% | 0.60 | 0.24 | 5.1x | 62 | 65% |
| Donchian 채널 돌파 entryN=101, exitN=65 |
5.6% | -29.0% | 0.53 | 0.19 | 4.1x | 40 | 61% |
| ROC 모멘텀 n=155, threshold=-0.01 |
5.4% | -32.6% | 0.47 | 0.17 | 4.0x | 141 | 73% |
| Supertrend period=28, mult=4.1 |
4.6% | -36.0% | 0.43 | 0.13 | 3.2x | 118 | 64% |
| 볼린저 밴드 돌파 n=42, k=1.8 |
1.2% | -31.4% | 0.18 | 0.04 | 1.4x | 136 | 42% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.3% | -49.4% | 0.16 | 0.03 | 1.4x | 268 | 62% |
| ADX / DI 방향성 period=35, threshold=23 |
-0.3% | -13.0% | -0.14 | -0.02 | 0.9x | 10 | 2% |
| MACD fast=18, slow=26, signal=19 |
-3.8% | -71.4% | -0.26 | -0.05 | 0.4x | 354 | 51% |
| Buy and hold | 7.1% | -66.8% | 0.43 | 0.11 | 6.0x | 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 13-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 13-day average falls below the 209-day average