Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares Asia 50 ETF CDI backtest
10 trend-following strategies were compared on the full daily history of iShares Asia 50 ETF CDI. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.0%, MDD -19.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.5%, drawdown -46.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -19.2%, Sharpe 0.66, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 9.0%, MDD -19.2%, exposure 64%).
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=51, slow=134 |
9.0% | -19.2% | 0.66 | 0.47 | 4.6x | 29 | 64% |
| EMA 크로스오버 fast=54, slow=99 |
8.6% | -22.0% | 0.63 | 0.39 | 4.4x | 25 | 69% |
| ROC 모멘텀 n=200, threshold=-0.08 |
8.8% | -29.9% | 0.61 | 0.29 | 4.5x | 33 | 82% |
| Donchian 채널 돌파 entryN=64, exitN=89 |
6.9% | -26.8% | 0.52 | 0.26 | 3.3x | 19 | 68% |
| Supertrend period=28, mult=3.6 |
4.3% | -30.4% | 0.38 | 0.14 | 2.1x | 80 | 61% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=2 |
3.0% | -21.6% | 0.32 | 0.14 | 1.7x | 84 | 42% |
| ADX / DI 방향성 period=38, threshold=30 |
1.2% | -8.5% | 0.31 | 0.14 | 1.2x | 10 | 7% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.1% | -34.1% | 0.22 | 0.06 | 1.4x | 146 | 56% |
| 볼린저 밴드 돌파 n=57, k=1.8 |
1.7% | -27.0% | 0.21 | 0.06 | 1.4x | 86 | 42% |
| MACD fast=30, slow=63, signal=17 |
0.5% | -41.4% | 0.11 | 0.01 | 1.1x | 162 | 53% |
| Buy and hold | 8.5% | -46.4% | 0.51 | 0.18 | 4.3x | 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 51-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 51-day average falls below the 134-day average