Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core MSCI EAFE IMI Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI EAFE IMI Index ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -15.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -28.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -18.5%, Sharpe 0.63, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 10.0%p (CAGR 5.9%, MDD -15.9%, exposure 71%).
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=34, slow=121 |
6.2% | -18.5% | 0.63 | 0.34 | 2.2x | 23 | 67% |
| EMA 크로스오버 fast=54, slow=94 |
5.9% | -15.9% | 0.59 | 0.37 | 2.1x | 19 | 71% |
| ROC 모멘텀 n=78, threshold=-0.04 |
4.6% | -25.5% | 0.45 | 0.18 | 1.8x | 75 | 82% |
| 볼린저 밴드 돌파 n=41, k=3 |
1.3% | -5.9% | 0.42 | 0.22 | 1.2x | 10 | 8% |
| Donchian 채널 돌파 entryN=28, exitN=68 |
2.2% | -27.6% | 0.26 | 0.08 | 1.3x | 39 | 77% |
| Supertrend period=17, mult=4.8 |
1.8% | -19.0% | 0.24 | 0.09 | 1.3x | 67 | 59% |
| ADX / DI 방향성 period=36, threshold=21 |
0.1% | -8.9% | 0.04 | 0.01 | 1.0x | 10 | 8% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=2.7 |
-0.1% | -19.6% | 0.03 | -0.00 | 1.0x | 73 | 43% |
| MACD fast=27, slow=42, signal=27 |
-1.0% | -30.9% | -0.07 | -0.03 | 0.9x | 104 | 50% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-2.4% | -37.5% | -0.21 | -0.06 | 0.7x | 220 | 60% |
| Buy and hold | 7.4% | -28.5% | 0.56 | 0.26 | 2.6x | 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 34-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 34-day average falls below the 121-day average