Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Future AI & Tech ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Future AI & Tech ETF. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.0%, MDD -35.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.6%, drawdown -55.8%).
Sharpe leader (same as main): MACD — CAGR 11.8%, MDD -35.8%, Sharpe 0.71, 52% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.0%, MDD -35.4%, exposure 77%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 19.9%p (CAGR 13.0%, MDD -35.4%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=7, slow=103, signal=20 |
11.8% | -35.8% | 0.71 | 0.33 | 2.5x | 92 | 52% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=15, mult=0.7 |
11.1% | -33.2% | 0.68 | 0.34 | 2.3x | 94 | 55% |
| ROC 모멘텀 n=184, threshold=-0.09 |
13.0% | -35.4% | 0.65 | 0.37 | 2.7x | 21 | 77% |
| 볼린저 밴드 돌파 n=33, k=1.1 |
9.6% | -31.7% | 0.63 | 0.30 | 2.1x | 72 | 48% |
| Supertrend period=28, mult=1.9 |
10.6% | -40.4% | 0.62 | 0.26 | 2.3x | 132 | 60% |
| SMA 크로스오버 fast=4, slow=68 |
10.0% | -40.3% | 0.60 | 0.25 | 2.2x | 54 | 60% |
| EMA 크로스오버 fast=32, slow=145 |
10.5% | -31.6% | 0.57 | 0.33 | 2.2x | 11 | 70% |
| Parabolic SAR step=0.01, maxStep=0.22 |
8.8% | -43.4% | 0.55 | 0.20 | 2.0x | 110 | 56% |
| ADX / DI 방향성 period=33, threshold=9 |
6.6% | -36.3% | 0.47 | 0.18 | 1.7x | 84 | 47% |
| Donchian 채널 돌파 entryN=49, exitN=47 |
7.4% | -43.6% | 0.46 | 0.17 | 1.8x | 22 | 61% |
| Buy and hold | 13.6% | -55.8% | 0.59 | 0.24 | 2.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (7/103) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line