Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares UK Property UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares UK Property 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 1.1%, MDD -38.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 1.2%, drawdown -48.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.1%, MDD -38.0%, Sharpe 0.15, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 10.4%p (CAGR 1.1%, MDD -38.0%, exposure 58%).
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=35, slow=118 |
1.1% | -38.0% | 0.15 | 0.03 | 1.2x | 35 | 58% |
| Donchian 채널 돌파 entryN=61, exitN=75 |
0.5% | -46.9% | 0.10 | 0.01 | 1.1x | 31 | 60% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
0.2% | -15.9% | 0.08 | 0.02 | 1.0x | 5 | 3% |
| ROC 모멘텀 n=117, threshold=-0.08 |
-0.5% | -64.1% | 0.04 | -0.01 | 0.9x | 87 | 78% |
| SMA 크로스오버 fast=49, slow=214 |
-0.6% | -47.3% | 0.02 | -0.01 | 0.9x | 25 | 56% |
| Supertrend period=25, mult=3.8 |
-2.3% | -58.3% | -0.08 | -0.04 | 0.7x | 93 | 63% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=8, mult=2.5 |
-1.4% | -44.1% | -0.13 | -0.03 | 0.8x | 62 | 13% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.1% | -66.1% | -0.14 | -0.05 | 0.6x | 152 | 54% |
| MACD fast=18, slow=47, signal=17 |
-4.5% | -76.1% | -0.25 | -0.06 | 0.4x | 204 | 49% |
| ADX / DI 방향성 period=30, threshold=28 |
-0.5% | -10.9% | -0.30 | -0.04 | 0.9x | 6 | 1% |
| Buy and hold | 1.2% | -48.4% | 0.16 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 118-day EMA
- Sell — Sell when the 35-day EMA falls below the 118-day EMA