Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global Tech ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global Tech ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.6%, MDD -29.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -56.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -29.8%, Sharpe 0.69, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 26.4%p (CAGR 10.6%, MDD -29.8%, exposure 73%).
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=11, slow=212 |
10.6% | -29.8% | 0.69 | 0.36 | 12.0x | 51 | 73% |
| EMA 크로스오버 fast=47, slow=75 |
9.3% | -29.8% | 0.62 | 0.31 | 9.0x | 43 | 72% |
| Donchian 채널 돌파 entryN=37, exitN=78 |
8.9% | -43.4% | 0.58 | 0.21 | 8.2x | 41 | 80% |
| Supertrend period=24, mult=3.9 |
5.6% | -29.4% | 0.46 | 0.19 | 3.9x | 152 | 61% |
| ROC 모멘텀 n=133, threshold=0.02 |
6.0% | -39.6% | 0.45 | 0.15 | 4.2x | 183 | 67% |
| 볼린저 밴드 돌파 n=50, k=1.8 |
3.6% | -36.9% | 0.35 | 0.10 | 2.4x | 122 | 46% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=1.8 |
3.6% | -31.5% | 0.34 | 0.11 | 2.4x | 182 | 52% |
| ADX / DI 방향성 period=33, threshold=16 |
1.6% | -20.6% | 0.23 | 0.08 | 1.5x | 82 | 21% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.0% | -59.7% | 0.01 | -0.02 | 0.8x | 258 | 60% |
| MACD fast=10, slow=50, signal=19 |
-2.2% | -70.8% | -0.07 | -0.03 | 0.6x | 368 | 52% |
| Buy and hold | 11.4% | -56.2% | 0.57 | 0.20 | 14.2x | 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 11-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 11-day average falls below the 212-day average