Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI USA Quality Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI USA Quality Factor ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -34.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.5%, MDD -20.4%, Sharpe 0.73, 79% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.2%, MDD -40.8%, exposure 95%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=17, slow=203 |
8.5% | -20.4% | 0.73 | 0.41 | 2.9x | 13 | 79% |
| Donchian 채널 돌파 entryN=10, exitN=129 |
9.2% | -40.8% | 0.69 | 0.23 | 3.2x | 19 | 95% |
| SMA 크로스오버 fast=28, slow=195 |
7.8% | -29.7% | 0.64 | 0.26 | 2.7x | 13 | 78% |
| Supertrend period=17, mult=5 |
5.2% | -17.6% | 0.55 | 0.29 | 1.9x | 51 | 67% |
| ROC 모멘텀 n=89, threshold=-0.04 |
6.1% | -26.7% | 0.52 | 0.23 | 2.2x | 61 | 86% |
| ADX / DI 방향성 period=31, threshold=21 |
0.6% | -12.7% | 0.19 | 0.05 | 1.1x | 16 | 9% |
| 볼린저 밴드 돌파 n=24, k=2.9 |
0.2% | -6.1% | 0.17 | 0.03 | 1.0x | 3 | 2% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.1% | -27.2% | 0.16 | 0.04 | 1.2x | 137 | 66% |
| MACD fast=25, slow=40, signal=23 |
0.4% | -33.7% | 0.09 | 0.01 | 1.1x | 128 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=13, mult=4 |
0.2% | -15.1% | 0.07 | 0.01 | 1.0x | 16 | 8% |
| Buy and hold | 12.0% | -34.1% | 0.75 | 0.35 | 4.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 17-day EMA crosses above the 203-day EMA
- Sell — Sell when the 17-day EMA falls below the 203-day EMA