Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares UK Dividend UCITS ETF GBP backtest
10 trend-following strategies were compared on the full daily history of iShares UK Dividend UCITS ETF GBP. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.8%, MDD -24.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.4%, drawdown -55.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.8%, MDD -24.1%, Sharpe 0.30, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 31.0%p (CAGR 2.8%, MDD -24.1%, exposure 64%).
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=53, slow=122 |
2.8% | -24.1% | 0.30 | 0.11 | 1.6x | 27 | 64% |
| SMA 크로스오버 fast=38, slow=102 |
2.7% | -40.5% | 0.29 | 0.07 | 1.6x | 37 | 60% |
| Donchian 채널 돌파 entryN=63, exitN=67 |
1.5% | -32.4% | 0.20 | 0.05 | 1.3x | 31 | 54% |
| 볼린저 밴드 돌파 n=34, k=2.8 |
0.4% | -5.6% | 0.18 | 0.08 | 1.1x | 6 | 2% |
| ROC 모멘텀 n=119, threshold=-0.04 |
1.5% | -45.2% | 0.18 | 0.03 | 1.3x | 89 | 74% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=3.5 |
0.0% | -3.6% | 0.02 | 0.01 | 1.0x | 2 | 0% |
| Supertrend period=16, mult=5 |
-0.9% | -44.3% | -0.03 | -0.02 | 0.8x | 63 | 53% |
| ADX / DI 방향성 period=18, threshold=38 |
-0.3% | -8.9% | -0.13 | -0.04 | 0.9x | 14 | 2% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.4% | -58.3% | -0.15 | -0.04 | 0.6x | 165 | 58% |
| MACD fast=14, slow=33, signal=19 |
-4.0% | -66.0% | -0.32 | -0.06 | 0.5x | 241 | 50% |
| Buy and hold | 3.4% | -55.1% | 0.28 | 0.06 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 122-day EMA
- Sell — Sell when the 53-day EMA falls below the 122-day EMA