Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Currency Hedged MSCI EAFE ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Currency Hedged MSCI EAFE ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -32.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -4.3%, Sharpe 0.49, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.1%, MDD -27.1%, exposure 64%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=2.9 |
1.6% | -4.3% | 0.49 | 0.37 | 1.2x | 4 | 10% |
| SMA 크로스오버 fast=33, slow=209 |
4.1% | -27.1% | 0.41 | 0.15 | 1.7x | 17 | 64% |
| EMA 크로스오버 fast=56, slow=212 |
3.5% | -24.0% | 0.37 | 0.15 | 1.5x | 9 | 61% |
| ADX / DI 방향성 period=18, threshold=33 |
0.5% | -2.2% | 0.34 | 0.21 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=59, threshold=-0.09 |
3.0% | -33.7% | 0.28 | 0.09 | 1.5x | 41 | 93% |
| Donchian 채널 돌파 entryN=94, exitN=89 |
1.1% | -32.4% | 0.16 | 0.03 | 1.2x | 19 | 54% |
| Supertrend period=36, mult=3.9 |
-1.3% | -41.4% | -0.05 | -0.03 | 0.8x | 93 | 69% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-1.9% | -42.8% | -0.11 | -0.04 | 0.8x | 77 | 70% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=3.2 |
-1.4% | -32.5% | -0.12 | -0.04 | 0.8x | 49 | 37% |
| MACD fast=17, slow=44, signal=18 |
-5.2% | -53.2% | -0.48 | -0.10 | 0.5x | 158 | 49% |
| Buy and hold | 5.3% | -32.4% | 0.39 | 0.16 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 76-day middle average