Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Core MSCI Pacific ex Japan UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Pacific ex Japan UCITS ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.6%, MDD -29.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -53.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.6%, MDD -29.6%, Sharpe 0.35, 70% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.8%, MDD -56.7%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 24.3%p (CAGR 3.6%, MDD -29.6%, exposure 70%).
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=58, slow=406 |
3.6% | -29.6% | 0.35 | 0.12 | 1.8x | 9 | 70% |
| ROC 모멘텀 Hold-like · Exposure 97% n=22, threshold=-0.1 |
3.8% | -56.7% | 0.27 | 0.07 | 1.8x | 31 | 97% |
| SMA 크로스오버 fast=25, slow=250 |
1.7% | -26.4% | 0.21 | 0.06 | 1.3x | 33 | 64% |
| Donchian 채널 돌파 entryN=11, exitN=63 |
1.0% | -54.1% | 0.16 | 0.02 | 1.2x | 63 | 86% |
| ADX / DI 방향성 period=23, threshold=33 |
0.2% | -8.1% | 0.12 | 0.03 | 1.0x | 8 | 2% |
| Supertrend period=22, mult=4 |
-1.8% | -55.2% | 0.04 | -0.03 | 0.7x | 133 | 58% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.0% | -53.2% | 0.03 | -0.04 | 0.7x | 135 | 56% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=29, mult=3.4 |
-2.8% | -42.1% | -0.03 | -0.07 | 0.6x | 54 | 12% |
| 볼린저 밴드 돌파 n=35, k=1.4 |
-3.6% | -55.6% | -0.05 | -0.07 | 0.5x | 139 | 42% |
| MACD fast=19, slow=31, signal=19 |
-3.9% | -60.2% | -0.05 | -0.06 | 0.5x | 199 | 52% |
| Buy and hold | 4.0% | -53.9% | 0.28 | 0.07 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 406-day EMA
- Sell — Sell when the 58-day EMA falls below the 406-day EMA