Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Eurozone ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Eurozone ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.4%, MDD -26.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.2%, drawdown -68.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -33.5%, Sharpe 0.46, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 3.4%, MDD -26.4%, exposure 45%).
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=20, slow=192 |
5.7% | -33.5% | 0.46 | 0.17 | 4.2x | 41 | 61% |
| EMA 크로스오버 fast=31, slow=220 |
4.9% | -36.3% | 0.42 | 0.14 | 3.5x | 29 | 59% |
| Donchian 채널 돌파 entryN=101, exitN=58 |
3.4% | -26.4% | 0.35 | 0.13 | 2.4x | 41 | 45% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=9, mult=3.2 |
2.3% | -32.0% | 0.26 | 0.07 | 1.8x | 84 | 41% |
| ADX / DI 방향성 period=37, threshold=22 |
1.0% | -15.6% | 0.25 | 0.06 | 1.3x | 18 | 7% |
| ROC 모멘텀 n=111, threshold=-0.02 |
1.8% | -56.2% | 0.19 | 0.03 | 1.6x | 203 | 63% |
| Supertrend period=8, mult=4.1 |
1.1% | -39.0% | 0.15 | 0.03 | 1.3x | 143 | 54% |
| 볼린저 밴드 돌파 n=42, k=2.9 |
0.5% | -13.5% | 0.15 | 0.04 | 1.1x | 18 | 6% |
| MACD fast=22, slow=47, signal=21 |
-0.7% | -57.2% | 0.03 | -0.01 | 0.8x | 244 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.3% | -67.4% | -0.15 | -0.05 | 0.4x | 246 | 58% |
| Buy and hold | 2.2% | -68.0% | 0.21 | 0.03 | 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 20-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 20-day average falls below the 192-day average