Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares MSCI Brazil UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Brazil UCITS ETF (DE). 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.8%, MDD -17.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.0%, drawdown -57.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.8%, MDD -17.0%, Sharpe 0.52, 32% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.1%, MDD -35.1%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 6.8%, MDD -17.0%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=2 |
6.8% | -17.0% | 0.52 | 0.40 | 1.7x | 42 | 32% |
| SMA 크로스오버 fast=24, slow=54 |
7.1% | -35.1% | 0.44 | 0.20 | 1.7x | 35 | 53% |
| Supertrend period=14, mult=2.8 |
5.9% | -27.7% | 0.40 | 0.21 | 1.6x | 79 | 49% |
| MACD fast=13, slow=39, signal=27 |
5.8% | -38.7% | 0.38 | 0.15 | 1.6x | 79 | 47% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=26, mult=1.3 |
4.7% | -34.7% | 0.35 | 0.14 | 1.4x | 72 | 42% |
| Donchian 채널 돌파 entryN=31, exitN=26 |
3.6% | -55.0% | 0.28 | 0.07 | 1.3x | 36 | 53% |
| ADX / DI 방향성 period=18, threshold=36 |
0.5% | -5.0% | 0.18 | 0.11 | 1.0x | 4 | 1% |
| ROC 모멘텀 n=32, threshold=0 |
0.9% | -50.9% | 0.14 | 0.02 | 1.1x | 128 | 52% |
| EMA 크로스오버 fast=42, slow=137 |
-0.8% | -45.2% | 0.06 | -0.02 | 0.9x | 17 | 57% |
| Parabolic SAR step=0.07, maxStep=0.1 |
-3.5% | -55.2% | -0.07 | -0.06 | 0.8x | 191 | 53% |
| Buy and hold | 5.0% | -57.2% | 0.31 | 0.09 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 32-day average (2× volatility)
- Sell — Sell when the close falls back to the 32-day middle average