Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI EAFE Min Vol Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI EAFE Min Vol Factor ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.4%, MDD -14.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -29.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -14.6%, Sharpe 0.42, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 14.6%p (CAGR 3.4%, MDD -14.6%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=18, slow=190 |
3.4% | -14.6% | 0.42 | 0.23 | 1.6x | 21 | 68% |
| EMA 크로스오버 fast=39, slow=157 |
2.9% | -15.8% | 0.37 | 0.18 | 1.5x | 19 | 69% |
| Donchian 채널 돌파 entryN=46, exitN=60 |
2.0% | -14.0% | 0.27 | 0.14 | 1.3x | 29 | 61% |
| ROC 모멘텀 n=101, threshold=-0.09 |
2.2% | -32.8% | 0.26 | 0.07 | 1.4x | 35 | 91% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
0.3% | -4.9% | 0.16 | 0.06 | 1.0x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=3.7 |
0.1% | -2.6% | 0.11 | 0.03 | 1.0x | 4 | 1% |
| Supertrend period=11, mult=5 |
0.3% | -22.0% | 0.08 | 0.01 | 1.0x | 55 | 53% |
| ADX / DI 방향성 period=23, threshold=35 |
0.0% | -3.4% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.7% | -37.5% | -0.29 | -0.07 | 0.7x | 141 | 59% |
| MACD fast=13, slow=55, signal=18 |
-2.9% | -45.8% | -0.34 | -0.06 | 0.6x | 185 | 51% |
| Buy and hold | 4.1% | -29.3% | 0.37 | 0.14 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 18-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 18-day average falls below the 190-day average