Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares Edge MSCI EM Value Factor UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Edge MSCI EM Value Factor UCITS ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -15.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -34.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -15.9%, Sharpe 0.84, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 12.3%, MDD -15.9%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=44, exitN=63 |
12.3% | -15.9% | 0.84 | 0.77 | 2.4x | 15 | 65% |
| ROC 모멘텀 n=129, threshold=0.16 |
9.3% | -15.1% | 0.80 | 0.62 | 2.0x | 17 | 27% |
| SMA 크로스오버 fast=20, slow=59 |
11.1% | -20.2% | 0.79 | 0.55 | 2.3x | 26 | 63% |
| EMA 크로스오버 fast=37, slow=107 |
9.9% | -16.8% | 0.69 | 0.59 | 2.1x | 13 | 63% |
| 볼린저 밴드 돌파 n=55, k=0.7 |
8.8% | -15.0% | 0.69 | 0.59 | 1.9x | 44 | 55% |
| Supertrend period=21, mult=3.5 |
8.7% | -24.4% | 0.66 | 0.36 | 1.9x | 89 | 59% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=1.2 |
6.8% | -25.9% | 0.54 | 0.26 | 1.7x | 61 | 58% |
| ADX / DI 방향성 period=19, threshold=11 |
4.1% | -26.3% | 0.36 | 0.16 | 1.4x | 126 | 59% |
| MACD fast=17, slow=51, signal=12 |
3.5% | -41.7% | 0.32 | 0.08 | 1.3x | 95 | 51% |
| Parabolic SAR step=0.045, maxStep=0.12 |
2.9% | -22.8% | 0.27 | 0.13 | 1.2x | 167 | 59% |
| Buy and hold | 12.9% | -34.5% | 0.73 | 0.37 | 2.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 44 days
- Sell — Sell when price breaks below the lowest low of the last 63 days