Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Composite High Dividend Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Composite High Dividend Index ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.0%, MDD -16.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.1%, drawdown -47.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -16.6%, Sharpe 0.96, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 6.0%, MDD -16.4%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=62, exitN=45 |
6.1% | -16.6% | 0.96 | 0.37 | 2.4x | 25 | 54% |
| ROC 모멘텀 n=83, threshold=-0.02 |
6.0% | -16.4% | 0.77 | 0.37 | 2.3x | 69 | 71% |
| ADX / DI 방향성 period=31, threshold=22 |
2.1% | -10.2% | 0.72 | 0.20 | 1.3x | 11 | 13% |
| SMA 크로스오버 fast=6, slow=119 |
4.9% | -19.1% | 0.70 | 0.26 | 2.0x | 41 | 65% |
| EMA 크로스오버 fast=7, slow=119 |
4.0% | -24.3% | 0.58 | 0.16 | 1.8x | 45 | 64% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=8, mult=2.5 |
2.6% | -19.0% | 0.46 | 0.14 | 1.5x | 73 | 47% |
| Supertrend period=18, mult=4.7 |
2.9% | -28.1% | 0.41 | 0.10 | 1.5x | 65 | 62% |
| 볼린저 밴드 돌파 n=64, k=2.7 |
1.2% | -7.9% | 0.41 | 0.16 | 1.2x | 10 | 10% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-0.7% | -43.1% | -0.03 | -0.02 | 0.9x | 245 | 59% |
| MACD fast=18, slow=41, signal=20 |
-1.4% | -35.2% | -0.14 | -0.04 | 0.8x | 161 | 48% |
| Buy and hold | 5.1% | -47.4% | 0.41 | 0.11 | 2.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 62 days
- Sell — Sell when price breaks below the lowest low of the last 45 days