Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Healthcare ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Healthcare 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 5.0%, MDD -28.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -43.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -28.5%, Sharpe 0.46, 67% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.4%, MDD -43.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 15.0%p (CAGR 5.0%, MDD -28.5%, exposure 67%).
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=59, slow=232 |
5.0% | -28.5% | 0.46 | 0.18 | 3.6x | 29 | 67% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.08 |
6.4% | -43.5% | 0.44 | 0.15 | 5.0x | 3 | 100% |
| Donchian 채널 돌파 entryN=72, exitN=61 |
4.0% | -27.9% | 0.43 | 0.14 | 2.8x | 45 | 61% |
| EMA 크로스오버 fast=59, slow=203 |
4.1% | -28.4% | 0.39 | 0.14 | 2.8x | 29 | 68% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
0.1% | -2.8% | 0.14 | 0.04 | 1.0x | 2 | 1% |
| Supertrend period=9, mult=4.8 |
0.5% | -39.7% | 0.10 | 0.01 | 1.1x | 101 | 58% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=21, mult=3.5 |
0.3% | -9.1% | 0.09 | 0.03 | 1.1x | 33 | 7% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.8% | -42.1% | -0.10 | -0.04 | 0.6x | 253 | 60% |
| ADX / DI 방향성 period=35, threshold=24 |
-0.3% | -7.5% | -0.15 | -0.04 | 0.9x | 14 | 2% |
| MACD fast=18, slow=55, signal=17 |
-2.4% | -59.3% | -0.17 | -0.04 | 0.5x | 289 | 52% |
| Buy and hold | 6.7% | -43.5% | 0.46 | 0.15 | 5.4x | 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 59-day average price crosses above the 232-day average
- Sell — Sell (to cash) when the 59-day average falls below the 232-day average