Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell 3000 Fund backtest
10 trend-following strategies were compared on the full daily history of iShares Russell 3000 Fund. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.8%, MDD -27.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -56.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -27.5%, Sharpe 0.61, 71% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.4%, MDD -35.2%, exposure 72%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 29.1%p (CAGR 6.8%, MDD -27.5%, 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=45, slow=140 |
6.8% | -27.5% | 0.61 | 0.25 | 5.5x | 29 | 71% |
| SMA 크로스오버 fast=37, slow=312 |
7.4% | -35.2% | 0.61 | 0.21 | 6.4x | 17 | 72% |
| Donchian 채널 돌파 entryN=96, exitN=60 |
5.3% | -25.3% | 0.56 | 0.21 | 3.9x | 41 | 60% |
| ROC 모멘텀 n=144, threshold=-0.03 |
4.5% | -32.8% | 0.42 | 0.14 | 3.2x | 125 | 76% |
| Supertrend period=25, mult=4.8 |
3.4% | -38.2% | 0.34 | 0.09 | 2.4x | 105 | 66% |
| 볼린저 밴드 돌파 n=38, k=3.1 |
0.1% | -3.3% | 0.16 | 0.04 | 1.0x | 2 | 1% |
| MACD fast=39, slow=60, signal=63 |
0.3% | -49.7% | 0.08 | 0.01 | 1.1x | 136 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.3% | -54.5% | 0.03 | -0.01 | 0.9x | 256 | 64% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=4 |
-0.4% | -26.5% | -0.03 | -0.02 | 0.9x | 76 | 28% |
| ADX / DI 방향성 period=28, threshold=33 |
-0.0% | -2.7% | -0.05 | -0.01 | 1.0x | 2 | 0% |
| Buy and hold | 6.8% | -56.7% | 0.44 | 0.12 | 5.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 140-day EMA
- Sell — Sell when the 45-day EMA falls below the 140-day EMA