Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Russell Top 200 Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Russell Top 200 Value ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -35.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.9%, MDD -25.6%, Sharpe 0.64, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=13, threshold=-0.13 |
8.9% | -25.6% | 0.64 | 0.35 | 4.2x | 7 | 99% |
| SMA 크로스오버 fast=15, slow=180 |
5.6% | -25.5% | 0.56 | 0.22 | 2.5x | 27 | 75% |
| EMA 크로스오버 fast=30, slow=189 |
5.3% | -29.0% | 0.52 | 0.18 | 2.4x | 23 | 78% |
| Donchian 채널 돌파 entryN=77, exitN=79 |
3.6% | -21.0% | 0.39 | 0.17 | 1.8x | 25 | 70% |
| Supertrend period=29, mult=4 |
0.8% | -40.1% | 0.13 | 0.02 | 1.1x | 113 | 68% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.0% | -28.7% | 0.05 | -0.00 | 1.0x | 163 | 62% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=1.1 |
-1.0% | -36.0% | -0.06 | -0.03 | 0.8x | 173 | 61% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
-0.1% | -8.5% | -0.07 | -0.01 | 1.0x | 2 | 1% |
| MACD fast=16, slow=41, signal=22 |
-1.8% | -40.0% | -0.15 | -0.04 | 0.7x | 200 | 52% |
| ADX / DI 방향성 period=26, threshold=14 |
-1.2% | -41.0% | -0.16 | -0.03 | 0.8x | 135 | 33% |
| Buy and hold | 9.2% | -35.8% | 0.62 | 0.26 | 4.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than -13%
- Sell — Sell when the 13-day return drops to -13% or below