Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares S&P SmallCap 600 Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P SmallCap 600 Growth ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -58.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -41.1%, Sharpe 0.48, 68% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=289 |
6.4% | -41.1% | 0.48 | 0.15 | 5.0x | 27 | 68% |
| EMA 크로스오버 fast=41, slow=181 |
5.4% | -42.5% | 0.43 | 0.13 | 3.9x | 41 | 70% |
| ROC 모멘텀 n=82, threshold=-0.12 |
5.9% | -42.5% | 0.40 | 0.14 | 4.4x | 93 | 91% |
| Donchian 채널 돌파 entryN=20, exitN=77 |
5.4% | -46.8% | 0.39 | 0.12 | 4.0x | 59 | 84% |
| Supertrend period=24, mult=4.2 |
4.1% | -31.9% | 0.34 | 0.13 | 2.8x | 113 | 65% |
| ADX / DI 방향성 period=37, threshold=23 |
0.3% | -8.0% | 0.13 | 0.04 | 1.1x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=25, mult=1.6 |
0.7% | -43.7% | 0.12 | 0.02 | 1.2x | 153 | 57% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.0% | -41.4% | 0.08 | 0.00 | 1.0x | 256 | 61% |
| 볼린저 밴드 돌파 n=59, k=1.8 |
-1.1% | -39.9% | -0.05 | -0.03 | 0.8x | 126 | 41% |
| MACD fast=12, slow=20, signal=16 |
-3.7% | -67.6% | -0.19 | -0.06 | 0.4x | 450 | 50% |
| Buy and hold | 8.6% | -58.0% | 0.48 | 0.15 | 8.7x | 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 26-day average price crosses above the 289-day average
- Sell — Sell (to cash) when the 26-day average falls below the 289-day average