Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab International Small-Cap Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab International Small-Cap Equity ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -22.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.3%, drawdown -47.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -22.5%, Sharpe 0.52, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 5.6%, MDD -22.5%, exposure 63%).
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=52, slow=99 |
5.6% | -22.5% | 0.52 | 0.25 | 2.5x | 36 | 63% |
| EMA 크로스오버 fast=42, slow=81 |
4.1% | -27.3% | 0.40 | 0.15 | 2.0x | 31 | 65% |
| Donchian 채널 돌파 entryN=31, exitN=93 |
4.3% | -31.3% | 0.36 | 0.14 | 2.0x | 31 | 81% |
| ROC 모멘텀 n=111, threshold=-0.07 |
3.2% | -35.1% | 0.30 | 0.09 | 1.7x | 67 | 79% |
| 볼린저 밴드 돌파 n=18, k=3 |
0.2% | -2.0% | 0.23 | 0.08 | 1.0x | 2 | 1% |
| Supertrend period=22, mult=5 |
1.9% | -37.3% | 0.21 | 0.05 | 1.4x | 71 | 68% |
| ADX / DI 방향성 period=22, threshold=37 |
0.1% | -1.5% | 0.09 | 0.04 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=14, mult=3.9 |
-0.4% | -29.0% | -0.02 | -0.01 | 0.9x | 55 | 28% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.6% | -64.3% | -0.27 | -0.06 | 0.5x | 165 | 57% |
| MACD fast=13, slow=31, signal=15 |
-3.5% | -61.2% | -0.28 | -0.06 | 0.5x | 255 | 48% |
| Buy and hold | 4.3% | -47.1% | 0.32 | 0.09 | 2.0x | 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 52-day average price crosses above the 99-day average
- Sell — Sell (to cash) when the 52-day average falls below the 99-day average