Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core Equity ETF Portfolio Trust Units backtest
10 trend-following strategies were compared on the full daily history of iShares Core Equity ETF Portfolio Trust Units. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.0%, MDD -12.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -29.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -12.0%, Sharpe 1.02, 83% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 17.7%p (CAGR 11.0%, MDD -12.0%, exposure 83%).
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=29, exitN=64 |
11.0% | -12.0% | 1.02 | 0.91 | 2.1x | 11 | 83% |
| SMA 크로스오버 fast=20, slow=180 |
10.4% | -15.3% | 1.02 | 0.68 | 2.0x | 7 | 73% |
| EMA 크로스오버 fast=7, slow=139 |
9.7% | -14.8% | 0.99 | 0.66 | 1.9x | 15 | 74% |
| ROC 모멘텀 n=87, threshold=-0.02 |
9.5% | -15.1% | 0.92 | 0.63 | 1.9x | 21 | 79% |
| Supertrend period=18, mult=4.5 |
6.1% | -15.8% | 0.68 | 0.39 | 1.5x | 39 | 68% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=1.5 |
4.0% | -16.6% | 0.50 | 0.24 | 1.3x | 54 | 66% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
2.7% | -16.5% | 0.37 | 0.17 | 1.2x | 56 | 61% |
| ADX / DI 방향성 period=24, threshold=32 |
0.1% | -4.0% | 0.09 | 0.03 | 1.0x | 4 | 3% |
| Parabolic SAR step=0.01, maxStep=0.14 |
0.2% | -24.0% | 0.07 | 0.01 | 1.0x | 106 | 66% |
| MACD fast=18, slow=24, signal=13 |
-0.7% | -23.7% | -0.04 | -0.03 | 1.0x | 108 | 50% |
| Buy and hold | 12.4% | -29.7% | 0.83 | 0.42 | 2.3x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 64 days