Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. Mid Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. Mid Cap 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 9.6%, drawdown -42.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -18.8%, Sharpe 0.63, 70% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.4%, MDD -40.4%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=78, exitN=90 |
6.9% | -18.8% | 0.63 | 0.37 | 2.9x | 17 | 70% |
| SMA 크로스오버 fast=9, slow=243 |
7.1% | -21.5% | 0.62 | 0.33 | 2.9x | 25 | 74% |
| EMA 크로스오버 fast=30, slow=139 |
6.7% | -22.0% | 0.59 | 0.30 | 2.8x | 19 | 73% |
| ROC 모멘텀 Hold-like · Exposure 97% n=32, threshold=-0.12 |
7.4% | -40.4% | 0.51 | 0.18 | 3.0x | 37 | 97% |
| Supertrend period=28, mult=4.7 |
4.6% | -21.6% | 0.42 | 0.21 | 2.0x | 63 | 68% |
| Parabolic SAR step=0.01, maxStep=0.1 |
0.3% | -28.6% | 0.09 | 0.01 | 1.1x | 230 | 61% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=1.9 |
-0.0% | -24.6% | 0.05 | -0.00 | 1.0x | 105 | 53% |
| 볼린저 밴드 돌파 n=47, k=1 |
-1.4% | -38.0% | -0.08 | -0.04 | 0.8x | 138 | 55% |
| ADX / DI 방향성 period=34, threshold=17 |
-0.9% | -16.7% | -0.19 | -0.05 | 0.9x | 28 | 6% |
| MACD fast=9, slow=28, signal=16 |
-2.9% | -39.6% | -0.19 | -0.07 | 0.6x | 286 | 50% |
| Buy and hold | 9.6% | -42.4% | 0.57 | 0.23 | 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 78 days
- Sell — Sell when price breaks below the lowest low of the last 90 days