Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares Core MSCI World Ex Australia ESG Leaders ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI World Ex Australia ESG Leaders ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -24.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -23.7%, Sharpe 0.76, 92% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=49, threshold=-0.07 |
9.1% | -23.7% | 0.76 | 0.38 | 2.5x | 27 | 92% |
| Donchian 채널 돌파 entryN=14, exitN=53 |
8.4% | -23.2% | 0.76 | 0.36 | 2.3x | 29 | 83% |
| Supertrend period=20, mult=4.5 |
7.1% | -17.1% | 0.71 | 0.41 | 2.0x | 51 | 69% |
| EMA 크로스오버 fast=21, slow=146 |
6.9% | -20.2% | 0.67 | 0.34 | 2.0x | 17 | 75% |
| SMA 크로스오버 fast=6, slow=132 |
6.5% | -24.7% | 0.65 | 0.26 | 1.9x | 29 | 71% |
| Parabolic SAR step=0.005, maxStep=0.06 |
4.0% | -27.1% | 0.43 | 0.15 | 1.5x | 77 | 63% |
| ADX / DI 방향성 period=39, threshold=11 |
2.9% | -23.8% | 0.37 | 0.12 | 1.3x | 61 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=22, mult=2.4 |
2.7% | -25.6% | 0.35 | 0.11 | 1.3x | 57 | 56% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
1.8% | -30.6% | 0.25 | 0.06 | 1.2x | 65 | 56% |
| MACD fast=21, slow=70, signal=19 |
1.2% | -33.5% | 0.17 | 0.04 | 1.1x | 98 | 52% |
| Buy and hold | 10.3% | -24.8% | 0.76 | 0.42 | 2.8x | 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 49-day return is greater than -7%
- Sell — Sell when the 49-day return drops to -7% or below