Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core U.S. REIT ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core U.S. REIT ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.1%, MDD -24.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.4%, drawdown -72.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -24.3%, Sharpe 0.41, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 5.1%, MDD -24.3%, exposure 62%).
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=67, slow=145 |
5.1% | -24.3% | 0.41 | 0.21 | 2.6x | 33 | 62% |
| Donchian 채널 돌파 entryN=107, exitN=108 |
3.3% | -27.4% | 0.32 | 0.12 | 1.9x | 19 | 54% |
| EMA 크로스오버 fast=53, slow=192 |
1.1% | -50.6% | 0.15 | 0.02 | 1.2x | 29 | 61% |
| ROC 모멘텀 n=124, threshold=-0.03 |
-1.0% | -50.7% | 0.01 | -0.02 | 0.8x | 153 | 69% |
| Supertrend period=29, mult=3.3 |
-1.9% | -46.9% | 0.01 | -0.04 | 0.7x | 144 | 61% |
| ADX / DI 방향성 period=30, threshold=23 |
-0.0% | -11.3% | 0.01 | -0.00 | 1.0x | 14 | 6% |
| MACD fast=24, slow=73, signal=35 |
-2.6% | -47.8% | -0.04 | -0.06 | 0.6x | 142 | 53% |
| 볼린저 밴드 돌파 n=55, k=3.1 |
-0.4% | -18.8% | -0.05 | -0.02 | 0.9x | 8 | 3% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.1% | -61.6% | -0.11 | -0.07 | 0.4x | 180 | 58% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=3.2 |
-2.0% | -46.1% | -0.16 | -0.04 | 0.7x | 74 | 30% |
| Buy and hold | 1.4% | -72.9% | 0.19 | 0.02 | 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 67-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 67-day average falls below the 145-day average