Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. Broad Market ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. Broad Market ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -35.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -16.8%, Sharpe 0.83, 78% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -36.7%, exposure 88%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=6, slow=197 |
9.1% | -16.8% | 0.83 | 0.55 | 4.3x | 31 | 78% |
| Donchian 채널 돌파 entryN=17, exitN=66 |
9.6% | -36.7% | 0.75 | 0.26 | 4.7x | 35 | 88% |
| EMA 크로스오버 fast=46, slow=133 |
8.0% | -27.7% | 0.67 | 0.29 | 3.6x | 19 | 79% |
| ROC 모멘텀 Hold-like · Exposure 95% n=28, threshold=-0.08 |
8.1% | -35.2% | 0.60 | 0.23 | 3.7x | 67 | 95% |
| Supertrend period=26, mult=5 |
5.3% | -24.9% | 0.53 | 0.21 | 2.4x | 65 | 70% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=29, mult=4 |
0.6% | -5.5% | 0.34 | 0.11 | 1.1x | 4 | 3% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.4% | -31.0% | 0.18 | 0.05 | 1.3x | 252 | 65% |
| MACD fast=23, slow=58, signal=12 |
-0.1% | -33.0% | 0.04 | -0.00 | 1.0x | 202 | 53% |
| 볼린저 밴드 돌파 n=45, k=1.5 |
-0.5% | -36.1% | -0.01 | -0.01 | 0.9x | 118 | 51% |
| ADX / DI 방향성 period=34, threshold=23 |
-0.6% | -13.2% | -0.23 | -0.05 | 0.9x | 6 | 2% |
| Buy and hold | 12.3% | -35.3% | 0.76 | 0.35 | 7.0x | 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 6-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 6-day average falls below the 197-day average