Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell Midcap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell Midcap 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 7.2%, MDD -25.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -57.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.7%, MDD -31.2%, Sharpe 0.61, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 26.2%p (CAGR 7.2%, MDD -25.9%, exposure 72%).
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=44, exitN=56 |
7.7% | -31.2% | 0.61 | 0.25 | 6.5x | 49 | 71% |
| SMA 크로스오버 fast=7, slow=212 |
7.2% | -25.9% | 0.59 | 0.28 | 5.8x | 47 | 72% |
| EMA 크로스오버 fast=14, slow=181 |
7.1% | -26.8% | 0.58 | 0.26 | 5.6x | 47 | 73% |
| ROC 모멘텀 n=121, threshold=-0.08 |
6.5% | -34.6% | 0.47 | 0.19 | 4.9x | 111 | 86% |
| Supertrend period=22, mult=4.9 |
5.0% | -33.2% | 0.43 | 0.15 | 3.4x | 95 | 64% |
| Keltner 채널 돌파 emaPeriod=87, atrPeriod=13, mult=2.4 |
3.6% | -27.1% | 0.37 | 0.13 | 2.4x | 107 | 55% |
| 볼린저 밴드 돌파 n=48, k=0.8 |
1.3% | -36.6% | 0.17 | 0.04 | 1.4x | 214 | 57% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.0% | -47.0% | -0.00 | -0.02 | 0.8x | 257 | 62% |
| ADX / DI 방향성 period=52, threshold=11 |
-1.1% | -43.7% | -0.11 | -0.03 | 0.8x | 114 | 23% |
| MACD fast=19, slow=29, signal=20 |
-2.6% | -64.3% | -0.12 | -0.04 | 0.5x | 310 | 51% |
| Buy and hold | 8.4% | -57.3% | 0.48 | 0.15 | 7.6x | 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 44 days
- Sell — Sell when price breaks below the lowest low of the last 56 days