Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. Large-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. Large-Cap ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.6%, drawdown -34.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -22.9%, Sharpe 0.74, 78% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.4%, MDD -34.7%, exposure 98%. 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=14, slow=182 |
8.3% | -22.9% | 0.74 | 0.36 | 3.8x | 25 | 78% |
| Donchian 채널 돌파 entryN=94, exitN=60 |
7.5% | -15.9% | 0.72 | 0.47 | 3.4x | 27 | 72% |
| EMA 크로스오버 fast=40, slow=145 |
8.4% | -27.1% | 0.70 | 0.31 | 3.9x | 19 | 80% |
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.07 |
9.4% | -34.7% | 0.66 | 0.27 | 4.5x | 53 | 98% |
| Supertrend period=23, mult=4.9 |
5.9% | -24.2% | 0.58 | 0.25 | 2.6x | 63 | 71% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.7% | -27.2% | 0.39 | 0.14 | 1.9x | 159 | 67% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.7 |
0.7% | -26.0% | 0.14 | 0.03 | 1.1x | 61 | 39% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
0.6% | -28.9% | 0.11 | 0.02 | 1.1x | 103 | 56% |
| MACD fast=10, slow=51, signal=23 |
-0.3% | -35.1% | 0.01 | -0.01 | 0.9x | 222 | 53% |
| ADX / DI 방향성 period=36, threshold=23 |
-0.3% | -9.8% | -0.17 | -0.03 | 1.0x | 4 | 1% |
| Buy and hold | 12.6% | -34.3% | 0.78 | 0.37 | 7.4x | 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 14-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 14-day average falls below the 182-day average