Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Malaysia Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Malaysia Index Fund. 9 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 0.8%, MDD -21.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.1%, drawdown -89.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.8%, MDD -39.6%, Sharpe 0.35, 27% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.5%, MDD -40.3%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 49.9%p (CAGR 0.8%, MDD -21.8%, 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=57, k=2.2 |
3.8% | -39.6% | 0.35 | 0.10 | 3.1x | 86 | 27% |
| EMA 크로스오버 fast=49, slow=96 |
4.5% | -40.3% | 0.35 | 0.11 | 3.8x | 50 | 50% |
| SMA 크로스오버 fast=32, slow=159 |
4.4% | -40.2% | 0.34 | 0.11 | 3.7x | 52 | 51% |
| Donchian 채널 돌파 entryN=42, exitN=25 |
3.7% | -49.4% | 0.31 | 0.07 | 3.0x | 108 | 43% |
| ROC 모멘텀 n=143, threshold=-0.03 |
1.7% | -70.3% | 0.18 | 0.02 | 1.7x | 179 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=4 |
1.4% | -39.7% | 0.18 | 0.03 | 1.5x | 70 | 22% |
| ADX / DI 방향성 period=19, threshold=34 |
0.8% | -21.8% | 0.17 | 0.04 | 1.3x | 10 | 2% |
| Supertrend period=13, mult=4 |
0.7% | -62.5% | 0.12 | 0.01 | 1.2x | 165 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.2% | -61.0% | 0.07 | -0.00 | 0.9x | 237 | 51% |
| MACD fast=8, slow=46, signal=16 |
-5.4% | -82.8% | -0.20 | -0.06 | 0.2x | 463 | 50% |
| Buy and hold | -2.1% | -89.5% | 0.06 | -0.02 | 0.5x | 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 57-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 57-day middle average