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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.9%, MDD -13.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -25.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -13.7%, Sharpe 0.54, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 11.7%p (CAGR 4.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=160 |
4.9% | -13.7% | 0.54 | 0.36 | 1.3x | 7 | 61% |
| 볼린저 밴드 돌파 n=16, k=2.8 |
1.2% | -3.1% | 0.52 | 0.38 | 1.1x | 6 | 4% |
| Donchian 채널 돌파 entryN=109, exitN=61 |
4.0% | -19.7% | 0.47 | 0.20 | 1.2x | 5 | 52% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=29, mult=3.2 |
0.8% | -2.1% | 0.44 | 0.38 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=168, threshold=0.09 |
2.3% | -9.3% | 0.40 | 0.25 | 1.1x | 13 | 27% |
| EMA 크로스오버 fast=43, slow=217 |
3.1% | -18.1% | 0.36 | 0.17 | 1.2x | 7 | 61% |
| Supertrend period=14, mult=4.5 |
1.2% | -22.4% | 0.18 | 0.05 | 1.1x | 23 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
0.3% | -20.7% | 0.08 | 0.02 | 1.0x | 73 | 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 |
-1.1% | -17.5% | -0.09 | -0.06 | 0.9x | 60 | 49% |
| Buy and hold | 5.3% | -25.4% | 0.45 | 0.21 | 1.3x | 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 49-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 49-day average falls below the 160-day average