Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. REIT ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. REIT ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.3%, drawdown -44.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.0%, MDD -39.6%, Sharpe 0.32, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=47, threshold=-0.13 |
4.0% | -39.6% | 0.32 | 0.10 | 1.8x | 19 | 96% |
| SMA 크로스오버 fast=68, slow=182 |
2.8% | -30.7% | 0.30 | 0.09 | 1.5x | 23 | 59% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=4 |
1.2% | -10.0% | 0.25 | 0.12 | 1.2x | 20 | 15% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
0.3% | -4.6% | 0.18 | 0.07 | 1.0x | 4 | 2% |
| ADX / DI 방향성 period=33, threshold=21 |
0.2% | -12.5% | 0.09 | 0.02 | 1.0x | 12 | 8% |
| Donchian 채널 돌파 entryN=13, exitN=71 |
-0.9% | -46.9% | 0.02 | -0.02 | 0.9x | 51 | 85% |
| EMA 크로스오버 fast=44, slow=142 |
-1.0% | -56.8% | -0.02 | -0.02 | 0.9x | 39 | 59% |
| Supertrend period=25, mult=2.9 |
-1.4% | -44.9% | -0.03 | -0.03 | 0.8x | 123 | 60% |
| MACD fast=18, slow=45, signal=13 |
-2.3% | -43.5% | -0.13 | -0.05 | 0.7x | 195 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-4.1% | -56.8% | -0.25 | -0.07 | 0.5x | 284 | 57% |
| Buy and hold | 4.3% | -44.2% | 0.31 | 0.10 | 1.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 47-day return is greater than -13%
- Sell — Sell when the 47-day return drops to -13% or below