Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab International Dividend Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab International Dividend Equity ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.0%, MDD -13.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -25.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -2.4%, Sharpe 0.62, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.0%, MDD -13.7%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 23.1%p (CAGR 5.0%, MDD -13.7%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=2.8 |
1.4% | -2.4% | 0.62 | 0.59 | 1.1x | 5 | 3% |
| SMA 크로스오버 fast=49, slow=160 |
5.0% | -13.7% | 0.55 | 0.37 | 1.3x | 7 | 61% |
| Donchian 채널 돌파 entryN=109, exitN=61 |
4.1% | -19.7% | 0.48 | 0.21 | 1.2x | 5 | 51% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=29, mult=3.2 |
0.8% | -2.1% | 0.45 | 0.39 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=168, threshold=0.09 |
2.5% | -9.3% | 0.42 | 0.27 | 1.1x | 13 | 25% |
| EMA 크로스오버 fast=43, slow=217 |
3.2% | -18.1% | 0.38 | 0.18 | 1.2x | 7 | 60% |
| Supertrend period=14, mult=4.5 |
1.3% | -22.4% | 0.20 | 0.06 | 1.1x | 23 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
1.0% | -20.7% | 0.16 | 0.05 | 1.1x | 71 | 55% |
| ADX / DI 방향성 period=22, threshold=26 |
0.1% | -6.5% | 0.07 | 0.02 | 1.0x | 2 | 2% |
| MACD fast=20, slow=31, signal=20 |
-0.9% | -17.5% | -0.07 | -0.05 | 1.0x | 59 | 48% |
| Buy and hold | 5.5% | -25.4% | 0.46 | 0.22 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 16-day middle average