Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Edge MSCI World Value Factor UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Edge MSCI World Value Factor UCITS ETF. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -20.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.3%, drawdown -43.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -20.2%, Sharpe 0.83, 90% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 10.4%, MDD -20.2%, exposure 90%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=64 |
10.4% | -20.2% | 0.83 | 0.52 | 3.2x | 27 | 90% |
| SMA 크로스오버 fast=47, slow=178 |
8.8% | -24.1% | 0.78 | 0.37 | 2.7x | 15 | 73% |
| EMA 크로스오버 fast=55, slow=187 |
8.3% | -27.1% | 0.75 | 0.31 | 2.6x | 9 | 74% |
| 볼린저 밴드 돌파 n=64, k=3 |
3.8% | -7.0% | 0.71 | 0.54 | 1.6x | 9 | 17% |
| ROC 모멘텀 n=126, threshold=-0.04 |
7.9% | -25.5% | 0.69 | 0.31 | 2.4x | 39 | 83% |
| Supertrend period=10, mult=5 |
4.9% | -30.6% | 0.52 | 0.16 | 1.8x | 51 | 61% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=23, mult=4 |
2.4% | -25.4% | 0.36 | 0.09 | 1.3x | 38 | 32% |
| ADX / DI 방향성 period=30, threshold=29 |
0.5% | -4.3% | 0.30 | 0.11 | 1.1x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.7% | -47.0% | -0.02 | -0.02 | 0.9x | 110 | 62% |
| MACD fast=13, slow=35, signal=13 |
-1.0% | -35.8% | -0.05 | -0.03 | 0.9x | 174 | 53% |
| Buy and hold | 7.3% | -43.2% | 0.48 | 0.17 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 64 days