Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares Edge MSCI World Momentum Factor UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Edge MSCI World Momentum Factor UCITS ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -30.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -30.8%, Sharpe 0.69, 76% exposure.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=76, slow=244 |
10.7% | -30.8% | 0.69 | 0.35 | 3.3x | 5 | 76% |
| Supertrend period=83, mult=4.8 |
8.9% | -24.6% | 0.68 | 0.36 | 2.8x | 50 | 68% |
| ROC 모멘텀 n=140, threshold=-0.08 |
9.4% | -28.6% | 0.58 | 0.33 | 2.9x | 25 | 91% |
| SMA 크로스오버 fast=16, slow=188 |
8.2% | -27.9% | 0.58 | 0.29 | 2.5x | 19 | 74% |
| Donchian 채널 돌파 entryN=16, exitN=58 |
8.1% | -28.0% | 0.47 | 0.29 | 2.5x | 29 | 85% |
| ADX / DI 방향성 period=27, threshold=31 |
0.7% | -2.4% | 0.36 | 0.29 | 1.1x | 2 | 2% |
| 볼린저 밴드 돌파 n=58, k=0.8 |
2.2% | -32.1% | 0.24 | 0.07 | 1.3x | 84 | 61% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.4% | -34.0% | 0.22 | 0.07 | 1.3x | 62 | 68% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=1.7 |
1.4% | -29.5% | 0.17 | 0.05 | 1.2x | 88 | 56% |
| MACD fast=17, slow=70, signal=24 |
0.6% | -30.3% | 0.11 | 0.02 | 1.1x | 120 | 52% |
| Buy and hold | 12.2% | -30.8% | 0.53 | 0.40 | 3.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 76-day EMA crosses above the 244-day EMA
- Sell — Sell when the 76-day EMA falls below the 244-day EMA