Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Energy ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Energy ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.1%, MDD -40.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.3%, drawdown -76.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -40.5%, Sharpe 0.46, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 6.1%, MDD -40.5%, exposure 64%).
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=47, slow=210 |
6.4% | -40.5% | 0.46 | 0.16 | 4.6x | 27 | 63% |
| EMA 크로스오버 fast=72, slow=189 |
6.1% | -40.5% | 0.44 | 0.15 | 4.3x | 21 | 64% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=25, mult=3 |
1.0% | -8.0% | 0.33 | 0.13 | 1.3x | 12 | 2% |
| Donchian 채널 돌파 entryN=18, exitN=76 |
4.4% | -42.6% | 0.32 | 0.10 | 2.9x | 61 | 81% |
| ROC 모멘텀 n=81, threshold=-0.09 |
3.1% | -59.8% | 0.25 | 0.05 | 2.1x | 147 | 84% |
| Supertrend period=26, mult=4.8 |
1.9% | -49.2% | 0.19 | 0.04 | 1.6x | 105 | 57% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
0.7% | -32.4% | 0.11 | 0.02 | 1.2x | 90 | 24% |
| ADX / DI 방향성 period=29, threshold=33 |
0.1% | -8.2% | 0.09 | 0.02 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-0.1% | -58.2% | 0.08 | -0.00 | 1.0x | 307 | 57% |
| MACD fast=17, slow=29, signal=16 |
-0.4% | -65.0% | 0.06 | -0.01 | 0.9x | 325 | 51% |
| Buy and hold | 5.3% | -76.1% | 0.33 | 0.07 | 3.6x | 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 47-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 47-day average falls below the 210-day average