Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Indonesia ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Indonesia ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -6.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.5%, drawdown -70.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.2%, MDD -12.3%, Sharpe 0.20, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 57.8%p (CAGR 0.6%, MDD -6.7%, exposure 2%).
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=43, k=2.8 |
1.2% | -12.3% | 0.20 | 0.10 | 1.2x | 22 | 11% |
| ADX / DI 방향성 period=16, threshold=34 |
0.6% | -6.7% | 0.19 | 0.09 | 1.1x | 8 | 2% |
| Supertrend period=13, mult=5 |
0.5% | -43.9% | 0.11 | 0.01 | 1.1x | 61 | 55% |
| Donchian 채널 돌파 entryN=48, exitN=19 |
0.1% | -28.4% | 0.06 | 0.00 | 1.0x | 62 | 33% |
| SMA 크로스오버 fast=14, slow=35 |
-0.8% | -46.6% | 0.04 | -0.02 | 0.9x | 105 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=35, mult=2.9 |
-1.0% | -35.9% | -0.05 | -0.03 | 0.9x | 52 | 20% |
| ROC 모멘텀 n=9, threshold=0.17 |
-0.4% | -12.6% | -0.08 | -0.03 | 0.9x | 16 | 1% |
| EMA 크로스오버 fast=31, slow=38 |
-2.5% | -53.5% | -0.09 | -0.05 | 0.7x | 86 | 51% |
| MACD fast=13, slow=28, signal=17 |
-7.5% | -79.9% | -0.37 | -0.09 | 0.3x | 239 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-7.7% | -77.4% | -0.39 | -0.10 | 0.3x | 139 | 52% |
| Buy and hold | -3.5% | -70.1% | 0.00 | -0.05 | 0.6x | 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 43-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 43-day middle average