Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab International Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab International Equity 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 4.6%, MDD -29.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.0%, drawdown -38.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -29.6%, Sharpe 0.44, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 9.0%p (CAGR 4.6%, MDD -29.6%, 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=40, slow=145 |
4.6% | -29.6% | 0.44 | 0.15 | 2.1x | 23 | 63% |
| EMA 크로스오버 fast=45, slow=127 |
4.0% | -26.4% | 0.39 | 0.15 | 1.9x | 31 | 66% |
| Donchian 채널 돌파 entryN=129, exitN=62 |
1.6% | -25.3% | 0.22 | 0.06 | 1.3x | 27 | 46% |
| ADX / DI 방향성 period=30, threshold=26 |
0.2% | -2.2% | 0.18 | 0.08 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=149, threshold=-0.01 |
0.7% | -37.0% | 0.12 | 0.02 | 1.1x | 105 | 64% |
| 볼린저 밴드 돌파 n=48, k=2.6 |
0.1% | -12.5% | 0.04 | 0.01 | 1.0x | 20 | 12% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=4 |
-0.1% | -31.1% | 0.02 | -0.00 | 1.0x | 44 | 30% |
| Supertrend period=18, mult=4.4 |
-0.6% | -37.0% | 0.01 | -0.01 | 0.9x | 87 | 63% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.2% | -51.0% | -0.14 | -0.04 | 0.7x | 163 | 58% |
| MACD fast=36, slow=61, signal=11 |
-3.1% | -49.4% | -0.24 | -0.06 | 0.6x | 167 | 50% |
| Buy and hold | 5.0% | -38.7% | 0.36 | 0.13 | 2.3x | 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 40-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 40-day average falls below the 145-day average