Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. Large-Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. Large-Cap Value ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -37.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.0%, MDD -28.3%, Sharpe 0.60, 99% 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 99% n=11, threshold=-0.09 |
8.0% | -28.3% | 0.60 | 0.28 | 3.6x | 23 | 99% |
| EMA 크로스오버 fast=52, slow=151 |
5.7% | -21.8% | 0.54 | 0.26 | 2.5x | 17 | 77% |
| SMA 크로스오버 fast=17, slow=189 |
5.3% | -24.6% | 0.53 | 0.21 | 2.3x | 29 | 76% |
| Donchian 채널 돌파 entryN=12, exitN=68 |
6.0% | -26.5% | 0.51 | 0.23 | 2.6x | 41 | 92% |
| Supertrend period=19, mult=4.9 |
1.6% | -23.2% | 0.21 | 0.07 | 1.3x | 69 | 63% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
0.2% | -4.4% | 0.19 | 0.04 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.4% | -35.9% | 0.01 | -0.01 | 0.9x | 166 | 62% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=2.1 |
-0.9% | -36.4% | -0.07 | -0.02 | 0.9x | 105 | 53% |
| MACD fast=24, slow=34, signal=18 |
-1.5% | -42.9% | -0.12 | -0.04 | 0.8x | 194 | 52% |
| ADX / DI 방향성 period=22, threshold=27 |
-0.4% | -12.0% | -0.17 | -0.03 | 0.9x | 14 | 4% |
| Buy and hold | 8.7% | -37.1% | 0.60 | 0.24 | 4.0x | 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 11-day return is greater than -9%
- Sell — Sell when the 11-day return drops to -9% or below