Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Currency Hedged MSCI Emerging Markets ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Currency Hedged MSCI Emerging Markets ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.1%, MDD -23.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.4%, drawdown -35.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -24.5%, Sharpe 0.46, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 5.1%, MDD -23.6%, exposure 55%).
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=54, exitN=89 |
5.2% | -24.5% | 0.46 | 0.21 | 1.8x | 13 | 64% |
| SMA 크로스오버 fast=36, slow=115 |
5.1% | -23.6% | 0.46 | 0.21 | 1.8x | 23 | 55% |
| EMA 크로스오버 fast=24, slow=174 |
4.1% | -25.7% | 0.39 | 0.16 | 1.6x | 21 | 55% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=15, mult=3.4 |
2.5% | -22.2% | 0.31 | 0.11 | 1.3x | 32 | 36% |
| ROC 모멘텀 n=113, threshold=-0.02 |
1.7% | -40.3% | 0.20 | 0.04 | 1.2x | 95 | 63% |
| 볼린저 밴드 돌파 n=45, k=2.5 |
0.9% | -18.3% | 0.16 | 0.05 | 1.1x | 26 | 19% |
| Supertrend period=23, mult=5 |
1.1% | -38.6% | 0.15 | 0.03 | 1.1x | 48 | 55% |
| ADX / DI 방향성 period=25, threshold=21 |
0.3% | -16.6% | 0.07 | 0.02 | 1.0x | 30 | 9% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.7% | -44.0% | -0.26 | -0.08 | 0.6x | 110 | 57% |
| MACD fast=23, slow=53, signal=14 |
-3.8% | -49.1% | -0.28 | -0.08 | 0.6x | 140 | 51% |
| Buy and hold | 4.4% | -35.3% | 0.33 | 0.13 | 1.7x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 89 days