Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares IV PLC - iShares MSCI EMU CTB Enhanced ESG UCITS ETF Accum Shs Unhedged EUR backtest
10 trend-following strategies were compared on the full daily history of iShares IV PLC - iShares MSCI EMU CTB Enhanced ESG UCITS ETF Accum Shs Unhedged EUR. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.2%, MDD -25.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -35.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.2%, MDD -25.2%, Sharpe 0.82, 86% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 11.2%, MDD -25.2%, exposure 86%).
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=80, threshold=-0.07 |
11.2% | -25.2% | 0.82 | 0.45 | 2.2x | 23 | 86% |
| EMA 크로스오버 fast=46, slow=114 |
7.6% | -29.3% | 0.60 | 0.26 | 1.7x | 7 | 77% |
| SMA 크로스오버 fast=25, slow=161 |
7.2% | -30.8% | 0.59 | 0.23 | 1.7x | 9 | 72% |
| Donchian 채널 돌파 entryN=101, exitN=79 |
5.0% | -17.6% | 0.47 | 0.29 | 1.4x | 11 | 69% |
| Supertrend period=26, mult=5 |
4.8% | -32.4% | 0.43 | 0.15 | 1.4x | 35 | 73% |
| MACD fast=15, slow=52, signal=17 |
3.2% | -16.3% | 0.35 | 0.19 | 1.3x | 82 | 49% |
| ADX / DI 방향성 period=35, threshold=25 |
0.7% | -5.9% | 0.24 | 0.13 | 1.1x | 4 | 7% |
| 볼린저 밴드 돌파 n=28, k=2.9 |
0.2% | -7.1% | 0.06 | 0.02 | 1.0x | 6 | 5% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.1% | -23.6% | 0.05 | -0.01 | 1.0x | 69 | 63% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=15, mult=2.7 |
-1.2% | -22.3% | -0.10 | -0.06 | 0.9x | 49 | 42% |
| Buy and hold | 10.5% | -35.3% | 0.64 | 0.30 | 2.1x | 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 80-day return is greater than -7%
- Sell — Sell when the 80-day return drops to -7% or below