Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares NASDAQ 100 Index ETF (CAD-Hedged) backtest
10 trend-following strategies were compared on the full daily history of iShares NASDAQ 100 Index ETF (CAD-Hedged). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.8%, MDD -29.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -36.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.0%, MDD -38.4%, Sharpe 0.81, 91% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by -1.9%p (CAGR 12.8%, MDD -29.1%, exposure 78%).
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=153, threshold=-0.1 |
14.0% | -38.4% | 0.81 | 0.37 | 7.4x | 31 | 91% |
| SMA 크로스오버 fast=46, slow=139 |
12.8% | -29.1% | 0.81 | 0.44 | 6.2x | 19 | 78% |
| EMA 크로스오버 fast=12, slow=107 |
10.8% | -24.3% | 0.75 | 0.44 | 4.8x | 43 | 80% |
| Donchian 채널 돌파 entryN=13, exitN=49 |
11.3% | -41.1% | 0.73 | 0.28 | 5.1x | 48 | 86% |
| Supertrend period=24, mult=5 |
8.2% | -31.1% | 0.68 | 0.26 | 3.3x | 66 | 66% |
| MACD fast=20, slow=74, signal=30 |
5.8% | -34.4% | 0.53 | 0.17 | 2.3x | 118 | 54% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.0% | -28.7% | 0.44 | 0.17 | 2.1x | 150 | 65% |
| 볼린저 밴드 돌파 n=55, k=1.4 |
4.2% | -26.7% | 0.42 | 0.16 | 1.9x | 90 | 57% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=2.2 |
3.6% | -24.7% | 0.36 | 0.15 | 1.7x | 98 | 57% |
| ADX / DI 방향성 period=32, threshold=15 |
1.5% | -22.3% | 0.22 | 0.07 | 1.2x | 74 | 24% |
| Buy and hold | 16.5% | -36.5% | 0.84 | 0.45 | 10.2x | 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 153-day return is greater than -10%
- Sell — Sell when the 153-day return drops to -10% or below