Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares GSCI Commodity Dynamic Roll Strategy ETF backtest
10 trend-following strategies were compared on the full daily history of iShares GSCI Commodity Dynamic Roll Strategy ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.4%, MDD -16.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.1%, drawdown -58.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.4%, MDD -16.3%, Sharpe 0.34, 6% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.8%, MDD -27.9%, exposure 42%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 2.4%, MDD -16.3%, exposure 6%).
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 n=44, threshold=0.13 |
2.4% | -16.3% | 0.34 | 0.15 | 1.3x | 31 | 6% |
| EMA 크로스오버 fast=74, slow=200 |
3.8% | -27.9% | 0.34 | 0.14 | 1.6x | 9 | 42% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
2.8% | -32.1% | 0.30 | 0.09 | 1.4x | 47 | 34% |
| Donchian 채널 돌파 entryN=95, exitN=19 |
2.7% | -19.6% | 0.30 | 0.14 | 1.4x | 26 | 25% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=26, mult=3.7 |
1.7% | -22.0% | 0.21 | 0.08 | 1.2x | 29 | 25% |
| Supertrend period=8, mult=4.8 |
1.6% | -36.8% | 0.19 | 0.04 | 1.2x | 47 | 50% |
| ADX / DI 방향성 period=35, threshold=14 |
1.0% | -23.1% | 0.15 | 0.04 | 1.1x | 52 | 18% |
| SMA 크로스오버 fast=22, slow=172 |
1.0% | -39.2% | 0.14 | 0.03 | 1.1x | 23 | 50% |
| MACD fast=21, slow=36, signal=19 |
-0.3% | -43.6% | 0.04 | -0.01 | 1.0x | 113 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-4.0% | -50.4% | -0.23 | -0.08 | 0.6x | 157 | 53% |
| Buy and hold | -3.1% | -58.0% | -0.04 | -0.05 | 0.7x | 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 44-day return is greater than 13%
- Sell — Sell when the 44-day return drops to 13% or below