Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Core MSCI Europe UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Europe UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -33.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.7%, MDD -33.9%, Sharpe 0.42, 99% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.11 |
6.7% | -33.9% | 0.42 | 0.20 | 3.1x | 15 | 99% |
| EMA 크로스오버 fast=40, slow=112 |
2.0% | -36.7% | 0.20 | 0.05 | 1.4x | 33 | 70% |
| Donchian 채널 돌파 entryN=26, exitN=52 |
1.9% | -32.5% | 0.19 | 0.06 | 1.4x | 53 | 74% |
| SMA 크로스오버 fast=29, slow=130 |
1.6% | -46.0% | 0.18 | 0.03 | 1.3x | 41 | 65% |
| Supertrend period=23, mult=4.9 |
-0.6% | -49.6% | 0.04 | -0.01 | 0.9x | 97 | 56% |
| 볼린저 밴드 돌파 n=30, k=1.4 |
-1.1% | -40.6% | -0.01 | -0.03 | 0.8x | 167 | 43% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=2.6 |
-2.3% | -53.4% | -0.09 | -0.04 | 0.7x | 101 | 43% |
| MACD fast=15, slow=22, signal=11 |
-2.6% | -50.8% | -0.12 | -0.05 | 0.6x | 297 | 50% |
| ADX / DI 방향성 period=35, threshold=14 |
-2.5% | -48.7% | -0.22 | -0.05 | 0.6x | 56 | 12% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.2% | -75.0% | -0.25 | -0.07 | 0.4x | 307 | 56% |
| Buy and hold | 5.8% | -33.7% | 0.38 | 0.17 | 2.7x | 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 7-day return is greater than -11%
- Sell — Sell when the 7-day return drops to -11% or below