Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Emerging Markets Equity Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Emerging Markets Equity 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 6.4%, MDD -25.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -43.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -25.2%, Sharpe 0.51, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 18.1%p (CAGR 6.4%, MDD -25.2%, exposure 60%).
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=25, slow=106 |
6.4% | -25.2% | 0.51 | 0.25 | 1.9x | 21 | 60% |
| Donchian 채널 돌파 entryN=60, exitN=82 |
5.7% | -24.1% | 0.46 | 0.24 | 1.8x | 17 | 63% |
| EMA 크로스오버 fast=46, slow=52 |
4.5% | -27.1% | 0.38 | 0.17 | 1.6x | 23 | 62% |
| ROC 모멘텀 n=116, threshold=-0.04 |
3.2% | -41.4% | 0.29 | 0.08 | 1.4x | 77 | 73% |
| 볼린저 밴드 돌파 n=43, k=3.4 |
0.5% | -3.9% | 0.27 | 0.13 | 1.1x | 2 | 3% |
| Supertrend period=26, mult=4.9 |
2.1% | -36.0% | 0.23 | 0.06 | 1.3x | 56 | 57% |
| ADX / DI 방향성 period=23, threshold=32 |
0.6% | -10.0% | 0.19 | 0.06 | 1.1x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=9, mult=4 |
1.0% | -26.6% | 0.15 | 0.04 | 1.1x | 36 | 34% |
| MACD fast=17, slow=40, signal=6 |
-4.6% | -49.0% | -0.30 | -0.09 | 0.6x | 198 | 50% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-5.0% | -57.5% | -0.31 | -0.09 | 0.6x | 230 | 57% |
| Buy and hold | 6.8% | -43.4% | 0.43 | 0.16 | 2.0x | 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 25-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 25-day average falls below the 106-day average