Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Biotechnology ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Biotechnology ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -47.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -62.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.2%, MDD -56.7%, Sharpe 0.40, 80% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 6.1%p (CAGR 5.6%, MDD -47.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=193, threshold=-0.09 |
6.2% | -56.7% | 0.40 | 0.11 | 4.7x | 115 | 80% |
| SMA 크로스오버 fast=20, slow=192 |
5.6% | -47.5% | 0.40 | 0.12 | 4.0x | 49 | 61% |
| EMA 크로스오버 fast=34, slow=133 |
5.2% | -40.6% | 0.38 | 0.13 | 3.7x | 45 | 61% |
| Supertrend period=24, mult=4.8 |
4.8% | -43.5% | 0.36 | 0.11 | 3.3x | 81 | 54% |
| Donchian 채널 돌파 entryN=106, exitN=79 |
4.1% | -47.1% | 0.32 | 0.09 | 2.8x | 37 | 57% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
1.2% | -13.7% | 0.28 | 0.08 | 1.3x | 7 | 3% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=2.3 |
2.0% | -51.0% | 0.22 | 0.04 | 1.7x | 123 | 40% |
| ADX / DI 방향성 period=23, threshold=30 |
0.6% | -17.8% | 0.15 | 0.03 | 1.2x | 16 | 4% |
| MACD fast=15, slow=38, signal=15 |
-2.2% | -68.7% | -0.05 | -0.03 | 0.6x | 347 | 51% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-3.4% | -74.7% | -0.11 | -0.05 | 0.4x | 435 | 54% |
| Buy and hold | 7.3% | -62.8% | 0.40 | 0.12 | 6.0x | 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 193-day return is greater than -9%
- Sell — Sell when the 193-day return drops to -9% or below