Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares IV PLC - iShares MSCI Europe 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 Europe CTB Enhanced ESG UCITS ETF Accum Shs Unhedged EUR. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.3%, MDD -22.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -35.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.3%, MDD -22.1%, Sharpe 0.67, 91% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 12.9%p (CAGR 8.3%, MDD -22.1%, exposure 91%).
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=41, threshold=-0.06 |
8.3% | -22.1% | 0.67 | 0.38 | 1.8x | 23 | 91% |
| Donchian 채널 돌파 entryN=101, exitN=79 |
5.9% | -15.5% | 0.60 | 0.38 | 1.5x | 9 | 65% |
| Supertrend period=47, mult=4.6 |
5.7% | -25.3% | 0.53 | 0.22 | 1.5x | 39 | 72% |
| 볼린저 밴드 돌파 n=77, k=2.8 |
2.6% | -6.8% | 0.51 | 0.38 | 1.2x | 6 | 19% |
| SMA 크로스오버 fast=11, slow=160 |
5.2% | -19.8% | 0.50 | 0.26 | 1.4x | 19 | 71% |
| EMA 크로스오버 fast=16, slow=137 |
5.0% | -17.0% | 0.48 | 0.29 | 1.4x | 15 | 75% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=28, mult=4 |
1.0% | -21.7% | 0.17 | 0.05 | 1.1x | 25 | 42% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.5% | -22.4% | 0.10 | 0.02 | 1.0x | 70 | 63% |
| MACD fast=15, slow=64, signal=15 |
-0.2% | -18.1% | 0.02 | -0.01 | 1.0x | 88 | 50% |
| ADX / DI 방향성 period=39, threshold=16 |
-0.1% | -8.8% | 0.01 | -0.01 | 1.0x | 18 | 17% |
| Buy and hold | 9.6% | -35.0% | 0.64 | 0.28 | 2.0x | 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 41-day return is greater than -6%
- Sell — Sell when the 41-day return drops to -6% or below