Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Energy ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Energy ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -28.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.3%, drawdown -78.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -28.5%, Sharpe 0.49, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 49.7%p (CAGR 7.4%, MDD -28.5%, exposure 60%).
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=32, slow=244 |
7.4% | -28.5% | 0.49 | 0.26 | 6.5x | 33 | 60% |
| EMA 크로스오버 fast=39, slow=155 |
5.9% | -55.3% | 0.41 | 0.11 | 4.5x | 39 | 62% |
| Donchian 채널 돌파 entryN=32, exitN=79 |
5.4% | -48.9% | 0.36 | 0.11 | 4.0x | 47 | 75% |
| ROC 모멘텀 n=157, threshold=-0.07 |
3.6% | -69.8% | 0.28 | 0.05 | 2.6x | 129 | 75% |
| 볼린저 밴드 돌파 n=41, k=3.1 |
0.9% | -11.9% | 0.23 | 0.07 | 1.3x | 6 | 2% |
| Supertrend period=8, mult=4.1 |
0.9% | -55.2% | 0.14 | 0.02 | 1.3x | 127 | 51% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=24, mult=3.5 |
0.0% | -29.9% | 0.04 | 0.00 | 1.0x | 38 | 8% |
| ADX / DI 방향성 period=24, threshold=20 |
-0.1% | -22.5% | 0.03 | -0.00 | 1.0x | 84 | 12% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.4% | -65.0% | 0.01 | -0.02 | 0.7x | 239 | 54% |
| MACD fast=18, slow=40, signal=17 |
-2.0% | -69.4% | -0.01 | -0.03 | 0.6x | 315 | 52% |
| Buy and hold | 5.3% | -78.2% | 0.33 | 0.07 | 3.9x | 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 32-day average price crosses above the 244-day average
- Sell — Sell (to cash) when the 32-day average falls below the 244-day average