Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Australia Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Australia Index Fund. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -69.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.0%, MDD -49.5%, Sharpe 0.20, 78% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=86 |
2.0% | -49.5% | 0.20 | 0.04 | 1.8x | 75 | 78% |
| SMA 크로스오버 fast=33, slow=181 |
1.5% | -46.6% | 0.17 | 0.03 | 1.6x | 51 | 60% |
| ROC 모멘텀 n=79, threshold=-0.15 |
1.4% | -57.7% | 0.17 | 0.02 | 1.5x | 107 | 93% |
| EMA 크로스오버 fast=23, slow=146 |
1.2% | -51.4% | 0.16 | 0.02 | 1.5x | 77 | 63% |
| 볼린저 밴드 돌파 n=68, k=2.6 |
0.4% | -22.3% | 0.09 | 0.02 | 1.1x | 40 | 14% |
| ADX / DI 방향성 period=28, threshold=29 |
0.2% | -10.2% | 0.09 | 0.02 | 1.1x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=3 |
0.2% | -12.8% | 0.08 | 0.01 | 1.1x | 14 | 2% |
| Supertrend period=32, mult=4.8 |
-0.9% | -66.8% | 0.02 | -0.01 | 0.8x | 131 | 59% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-5.7% | -89.9% | -0.27 | -0.06 | 0.2x | 411 | 56% |
| MACD fast=12, slow=34, signal=13 |
-6.2% | -87.6% | -0.30 | -0.07 | 0.1x | 503 | 50% |
| Buy and hold | 3.6% | -69.7% | 0.27 | 0.05 | 2.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 24 days
- Sell — Sell when price breaks below the lowest low of the last 86 days