Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Emerging Markets Min Vol Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Emerging Markets Min Vol Factor ETF. 0 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 2.3%, MDD -19.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.6%, drawdown -34.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.3%, MDD -19.5%, Sharpe 0.28, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 2.3%, MDD -19.5%, exposure 61%).
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=53, exitN=75 |
2.3% | -19.5% | 0.28 | 0.12 | 1.4x | 25 | 61% |
| ROC 모멘텀 n=14, threshold=0.14 |
0.1% | -0.5% | 0.15 | 0.11 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=50, slow=103 |
0.8% | -24.9% | 0.13 | 0.03 | 1.1x | 29 | 58% |
| Supertrend period=25, mult=5 |
0.1% | -38.1% | 0.06 | 0.00 | 1.0x | 62 | 62% |
| EMA 크로스오버 fast=26, slow=39 |
-0.3% | -31.6% | 0.02 | -0.01 | 1.0x | 72 | 60% |
| 볼린저 밴드 돌파 n=39, k=2.8 |
-0.1% | -10.5% | -0.00 | -0.01 | 1.0x | 18 | 10% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=12, mult=2.3 |
-1.4% | -38.6% | -0.15 | -0.04 | 0.8x | 78 | 42% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.9% | -51.1% | -0.36 | -0.08 | 0.6x | 142 | 57% |
| ADX / DI 방향성 period=13, threshold=35 |
-0.7% | -11.7% | -0.42 | -0.06 | 0.9x | 10 | 1% |
| MACD fast=13, slow=31, signal=16 |
-5.9% | -64.3% | -0.61 | -0.09 | 0.4x | 224 | 49% |
| Buy and hold | 2.6% | -34.9% | 0.25 | 0.07 | 1.5x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 75 days