Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Chile ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Chile ETF. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -8.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.0%, drawdown -77.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -8.0%, Sharpe 0.37, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.4%, MDD -45.2%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 69.8%p (CAGR 1.4%, MDD -8.0%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=30 |
1.4% | -8.0% | 0.37 | 0.18 | 1.3x | 6 | 2% |
| SMA 크로스오버 fast=25, slow=175 |
3.4% | -45.2% | 0.29 | 0.08 | 1.9x | 30 | 47% |
| EMA 크로스오버 fast=48, slow=99 |
1.9% | -50.9% | 0.20 | 0.04 | 1.4x | 34 | 48% |
| 볼린저 밴드 돌파 n=42, k=2.3 |
1.4% | -38.0% | 0.19 | 0.04 | 1.3x | 52 | 20% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=14, mult=4 |
0.4% | -9.5% | 0.14 | 0.04 | 1.1x | 12 | 4% |
| Donchian 채널 돌파 entryN=21, exitN=72 |
0.7% | -71.0% | 0.14 | 0.01 | 1.1x | 53 | 73% |
| ROC 모멘텀 n=196, threshold=0.08 |
0.7% | -59.1% | 0.12 | 0.01 | 1.1x | 87 | 34% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.4% | -64.8% | 0.06 | -0.01 | 0.9x | 166 | 52% |
| MACD fast=24, slow=52, signal=19 |
-0.5% | -54.0% | 0.06 | -0.01 | 0.9x | 160 | 50% |
| Supertrend period=21, mult=5 |
-1.4% | -61.0% | -0.00 | -0.02 | 0.8x | 74 | 49% |
| Buy and hold | -1.0% | -77.8% | 0.10 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)