Trend-Following Backtester · Guide · backtest 한국어
etf · HK
iShares Core MSCI China ETF Units backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI China ETF Units. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -19.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.8%, drawdown -67.6%).
Sharpe leader (same as main): Supertrend — CAGR 3.7%, MDD -43.4%, Sharpe 0.29, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 0.2%, MDD -19.1%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4.9 |
3.7% | -43.4% | 0.29 | 0.08 | 2.0x | 60 | 52% |
| EMA 크로스오버 fast=44, slow=78 |
3.3% | -34.9% | 0.28 | 0.09 | 1.8x | 40 | 49% |
| 볼린저 밴드 돌파 n=35, k=2.5 |
2.4% | -35.0% | 0.27 | 0.07 | 1.5x | 46 | 18% |
| SMA 크로스오버 fast=34, slow=114 |
3.0% | -45.4% | 0.26 | 0.07 | 1.7x | 40 | 48% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=11, mult=3.4 |
2.1% | -27.1% | 0.24 | 0.08 | 1.5x | 48 | 22% |
| Donchian 채널 돌파 entryN=69, exitN=19 |
2.1% | -23.6% | 0.23 | 0.09 | 1.5x | 50 | 28% |
| ROC 모멘텀 n=121, threshold=-0.04 |
0.3% | -54.7% | 0.11 | 0.00 | 1.0x | 116 | 61% |
| ADX / DI 방향성 period=25, threshold=29 |
0.2% | -19.1% | 0.06 | 0.01 | 1.0x | 18 | 7% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.5% | -58.6% | 0.00 | -0.03 | 0.7x | 149 | 51% |
| MACD fast=19, slow=49, signal=14 |
-3.4% | -70.7% | -0.10 | -0.05 | 0.5x | 225 | 50% |
| Buy and hold | -0.8% | -67.6% | 0.12 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)