Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares S&P 100 Fund backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 100 Fund. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.4%, MDD -26.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -57.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -26.0%, Sharpe 0.59, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 31.2%p (CAGR 6.4%, MDD -26.0%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=92 |
6.4% | -26.0% | 0.59 | 0.25 | 5.0x | 33 | 70% |
| SMA 크로스오버 fast=22, slow=192 |
6.4% | -28.0% | 0.58 | 0.23 | 5.0x | 33 | 71% |
| Donchian 채널 돌파 entryN=95, exitN=62 |
5.2% | -20.0% | 0.57 | 0.26 | 3.7x | 39 | 59% |
| Supertrend period=21, mult=4.6 |
3.3% | -33.6% | 0.35 | 0.10 | 2.3x | 106 | 65% |
| ROC 모멘텀 n=122, threshold=-0.02 |
3.4% | -31.2% | 0.34 | 0.11 | 2.4x | 167 | 75% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=8, mult=2.7 |
1.8% | -32.4% | 0.25 | 0.06 | 1.6x | 99 | 54% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
0.2% | -5.5% | 0.12 | 0.04 | 1.1x | 8 | 4% |
| MACD fast=12, slow=73, signal=31 |
-0.0% | -51.2% | 0.05 | -0.00 | 1.0x | 242 | 53% |
| ADX / DI 방향성 period=15, threshold=25 |
-0.1% | -36.9% | 0.00 | -0.00 | 1.0x | 148 | 17% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.0% | -61.0% | -0.03 | -0.02 | 0.8x | 265 | 62% |
| Buy and hold | 6.5% | -57.3% | 0.43 | 0.11 | 5.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 92-day EMA
- Sell — Sell when the 52-day EMA falls below the 92-day EMA