Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares ESG Aware MSCI USA ETF backtest
10 trend-following strategies were compared on the full daily history of iShares ESG Aware MSCI USA ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.4%, drawdown -33.9%).
Sharpe leader (same as main): Supertrend — CAGR 9.7%, MDD -17.6%, Sharpe 0.95, 66% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.5%, MDD -32.1%, exposure 87%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.8 |
9.7% | -17.6% | 0.95 | 0.55 | 2.4x | 39 | 66% |
| Donchian 채널 돌파 entryN=20, exitN=69 |
11.5% | -32.1% | 0.87 | 0.36 | 2.9x | 17 | 87% |
| EMA 크로스오버 fast=17, slow=81 |
9.9% | -25.5% | 0.85 | 0.39 | 2.5x | 23 | 76% |
| SMA 크로스오버 fast=15, slow=87 |
7.6% | -22.9% | 0.67 | 0.33 | 2.0x | 29 | 74% |
| ROC 모멘텀 n=90, threshold=-0.04 |
7.0% | -27.4% | 0.58 | 0.25 | 1.9x | 47 | 82% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.0% | -18.6% | 0.50 | 0.27 | 1.6x | 91 | 67% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=19, mult=4 |
3.6% | -18.7% | 0.47 | 0.19 | 1.4x | 30 | 48% |
| 볼린저 밴드 돌파 n=54, k=1.2 |
2.3% | -27.7% | 0.29 | 0.08 | 1.2x | 66 | 60% |
| ADX / DI 방향성 period=28, threshold=43 |
0.3% | -1.4% | 0.28 | 0.18 | 1.0x | 2 | 3% |
| MACD fast=18, slow=59, signal=17 |
0.5% | -30.7% | 0.10 | 0.02 | 1.1x | 108 | 53% |
| Buy and hold | 13.4% | -33.9% | 0.77 | 0.40 | 3.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)