Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Canada Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Canada Index Fund. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.0%, MDD -31.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.9%, drawdown -62.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -31.8%, Sharpe 0.53, 63% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.2%, MDD -37.7%, exposure 73%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 7.0%, MDD -31.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=87 |
7.0% | -31.8% | 0.53 | 0.22 | 7.8x | 87 | 63% |
| Donchian 채널 돌파 entryN=41, exitN=66 |
7.2% | -37.7% | 0.52 | 0.19 | 8.2x | 55 | 73% |
| EMA 크로스오버 fast=44, slow=73 |
6.0% | -34.7% | 0.47 | 0.17 | 5.9x | 69 | 67% |
| ROC 모멘텀 n=95, threshold=-0.11 |
6.5% | -53.0% | 0.45 | 0.12 | 6.8x | 109 | 86% |
| 볼린저 밴드 돌파 n=107, k=2.9 |
2.6% | -16.9% | 0.36 | 0.15 | 2.2x | 22 | 17% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=20, mult=4 |
1.7% | -34.0% | 0.21 | 0.05 | 1.6x | 75 | 37% |
| Supertrend period=17, mult=5 |
1.5% | -51.0% | 0.18 | 0.03 | 1.6x | 123 | 61% |
| ADX / DI 방향성 period=30, threshold=26 |
0.1% | -11.1% | 0.04 | 0.01 | 1.0x | 18 | 4% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.1% | -80.0% | -0.13 | -0.04 | 0.4x | 285 | 58% |
| MACD fast=13, slow=30, signal=20 |
-3.3% | -76.2% | -0.14 | -0.04 | 0.4x | 413 | 52% |
| Buy and hold | 5.9% | -62.7% | 0.37 | 0.09 | 5.7x | 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 43-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 43-day average falls below the 87-day average