Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares ESG MSCI KLD 400 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares ESG MSCI KLD 400 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 7.8%, MDD -21.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -55.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -21.3%, Sharpe 0.69, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 33.8%p (CAGR 7.8%, MDD -21.3%, exposure 72%).
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=10, slow=183 |
7.8% | -21.3% | 0.69 | 0.36 | 4.4x | 33 | 72% |
| EMA 크로스오버 fast=20, slow=74 |
7.3% | -23.9% | 0.65 | 0.31 | 4.0x | 45 | 73% |
| Donchian 채널 돌파 entryN=93, exitN=64 |
6.0% | -19.2% | 0.60 | 0.31 | 3.1x | 33 | 65% |
| Supertrend period=15, mult=5 |
5.1% | -25.6% | 0.52 | 0.20 | 2.7x | 84 | 62% |
| ROC 모멘텀 n=97, threshold=-0.06 |
4.6% | -32.7% | 0.40 | 0.14 | 2.4x | 91 | 85% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=14, mult=4 |
1.6% | -25.6% | 0.23 | 0.06 | 1.4x | 70 | 42% |
| MACD fast=31, slow=109, signal=24 |
1.1% | -35.0% | 0.15 | 0.03 | 1.2x | 140 | 53% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
0.1% | -3.6% | 0.14 | 0.04 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.4 |
0.3% | -42.5% | 0.09 | 0.01 | 1.1x | 196 | 64% |
| ADX / DI 방향성 period=45, threshold=16 |
-0.2% | -23.3% | -0.02 | -0.01 | 1.0x | 30 | 9% |
| Buy and hold | 9.1% | -55.1% | 0.55 | 0.17 | 5.6x | 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 10-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 10-day average falls below the 183-day average