Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Emerging Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Emerging Index Fund. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.6%, MDD -39.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -67.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.5%, MDD -40.7%, Sharpe 0.47, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -39.5%, exposure 63%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 26.6%p (CAGR 6.6%, MDD -39.5%, exposure 63%).
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=33, slow=42 |
6.5% | -40.7% | 0.47 | 0.16 | 4.4x | 75 | 60% |
| Donchian 채널 돌파 entryN=54, exitN=72 |
6.6% | -39.5% | 0.46 | 0.17 | 4.4x | 42 | 63% |
| SMA 크로스오버 fast=19, slow=117 |
6.2% | -42.0% | 0.45 | 0.15 | 4.1x | 61 | 60% |
| 볼린저 밴드 돌파 n=83, k=1.5 |
5.2% | -37.3% | 0.44 | 0.14 | 3.3x | 74 | 45% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=29, mult=1.6 |
4.8% | -34.4% | 0.41 | 0.14 | 3.0x | 130 | 50% |
| Supertrend period=29, mult=5 |
5.0% | -49.6% | 0.39 | 0.10 | 3.1x | 92 | 59% |
| ADX / DI 방향성 period=34, threshold=37 |
0.4% | -4.2% | 0.29 | 0.10 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=81, threshold=0.02 |
3.2% | -62.6% | 0.28 | 0.05 | 2.1x | 225 | 54% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.8% | -69.4% | 0.03 | -0.01 | 0.8x | 207 | 58% |
| MACD fast=14, slow=58, signal=18 |
-2.9% | -71.3% | -0.08 | -0.04 | 0.5x | 283 | 51% |
| Buy and hold | 7.9% | -67.2% | 0.42 | 0.12 | 5.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 42-day EMA
- Sell — Sell when the 33-day EMA falls below the 42-day EMA