Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Switzerland ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Switzerland ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.4%, MDD -42.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -54.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.4%, MDD -42.6%, Sharpe 0.38, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.0%, MDD -54.7%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 12.2%p (CAGR 4.4%, MDD -42.6%, exposure 64%).
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=28, slow=165 |
4.4% | -42.6% | 0.38 | 0.10 | 3.7x | 49 | 64% |
| SMA 크로스오버 fast=11, slow=191 |
3.9% | -51.0% | 0.35 | 0.08 | 3.2x | 81 | 62% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
5.0% | -54.7% | 0.34 | 0.09 | 4.4x | 5 | 100% |
| Donchian 채널 돌파 entryN=47, exitN=58 |
2.8% | -46.8% | 0.28 | 0.06 | 2.3x | 71 | 62% |
| Supertrend period=27, mult=4.8 |
1.6% | -42.8% | 0.18 | 0.04 | 1.6x | 127 | 61% |
| 볼린저 밴드 돌파 n=41, k=2.9 |
0.6% | -18.5% | 0.15 | 0.03 | 1.2x | 26 | 7% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.7% | -39.5% | 0.12 | 0.02 | 1.2x | 263 | 59% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=29, mult=3.5 |
0.1% | -6.3% | 0.10 | 0.02 | 1.0x | 8 | 1% |
| MACD fast=39, slow=50, signal=31 |
0.5% | -45.2% | 0.10 | 0.01 | 1.2x | 207 | 53% |
| ADX / DI 방향성 period=33, threshold=28 |
-0.1% | -8.6% | -0.02 | -0.01 | 1.0x | 8 | 1% |
| Buy and hold | 5.5% | -54.7% | 0.36 | 0.10 | 5.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 165-day EMA
- Sell — Sell when the 28-day EMA falls below the 165-day EMA