Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab US Dividend Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab US Dividend Equity ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -33.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -27.5%, Sharpe 0.67, 93% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=6, exitN=52 |
8.0% | -27.5% | 0.67 | 0.29 | 3.1x | 49 | 93% |
| SMA 크로스오버 fast=44, slow=146 |
6.4% | -28.8% | 0.58 | 0.22 | 2.5x | 21 | 73% |
| EMA 크로스오버 fast=54, slow=70 |
5.5% | -27.3% | 0.55 | 0.20 | 2.2x | 27 | 77% |
| ROC 모멘텀 n=107, threshold=-0.04 |
4.8% | -30.7% | 0.46 | 0.16 | 2.0x | 61 | 85% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.1% | -23.9% | 0.27 | 0.09 | 1.4x | 143 | 61% |
| Supertrend period=26, mult=3.5 |
2.2% | -26.3% | 0.27 | 0.08 | 1.4x | 99 | 63% |
| 볼린저 밴드 돌파 n=28, k=3 |
0.5% | -8.7% | 0.25 | 0.06 | 1.1x | 8 | 4% |
| ADX / DI 방향성 period=31, threshold=20 |
0.7% | -10.9% | 0.22 | 0.06 | 1.1x | 13 | 8% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=8, mult=2.2 |
0.3% | -22.1% | 0.08 | 0.02 | 1.1x | 101 | 45% |
| MACD fast=14, slow=31, signal=13 |
-0.8% | -35.6% | -0.04 | -0.02 | 0.9x | 225 | 51% |
| Buy and hold | 10.1% | -33.4% | 0.70 | 0.30 | 4.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 6 days
- Sell — Sell when price breaks below the lowest low of the last 52 days