Trend-Following Backtester · Guide · backtest 한국어

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iShares Edge MSCI World Quality Factor UCITS ETF backtest

10 trend-following strategies were compared on the full daily history of iShares Edge MSCI World Quality Factor UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.

Data 2014-10-06 ~ 2026-07-31daily bars 2,999 (11.8 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 9.8%, drawdown -32.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.1%, MDD -23.9%, Sharpe 0.70, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 97%
n=35, threshold=-0.12
10.1%-23.9%0.700.423.1x2197%
Donchian 채널 돌파
entryN=35, exitN=79
6.8%-28.8%0.560.242.2x2182%
EMA 크로스오버
fast=12, slow=89
5.8%-22.4%0.520.262.0x3975%
Supertrend
period=28, mult=4.7
6.0%-23.6%0.460.252.0x5571%
ADX / DI 방향성
period=22, threshold=36
0.6%-1.6%0.420.361.1x21%
SMA 크로스오버
fast=9, slow=191
3.7%-27.1%0.350.141.5x4172%
Parabolic SAR
step=0.005, maxStep=0.32
0.7%-26.3%0.130.031.1x10861%
MACD
fast=16, slow=51, signal=14
-0.0%-30.2%0.05-0.001.0x15851%
볼린저 밴드 돌파
n=53, k=1.2
-0.5%-30.4%-0.01-0.020.9x8557%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=27, mult=1.6
-1.0%-27.8%-0.06-0.040.9x10754%
Buy and hold9.8%-32.3%0.480.303.0x1100%
1x 2015 2017 2019 2021 2023 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -8% -16% -24% -32% 2015 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -23.9% (2015-04-13 → 2016-02-12), recovered after 784 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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