Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Spain ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Spain ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.6%, MDD -52.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.1%, drawdown -73.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.6%, MDD -52.7%, Sharpe 0.43, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 5.6%, MDD -52.7%, exposure 56%).
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=50, slow=189 |
5.6% | -52.7% | 0.43 | 0.11 | 5.3x | 33 | 56% |
| SMA 크로스오버 fast=32, slow=214 |
4.7% | -55.4% | 0.37 | 0.09 | 4.1x | 49 | 56% |
| ROC 모멘텀 n=191, threshold=0.05 |
4.3% | -41.9% | 0.37 | 0.10 | 3.6x | 147 | 48% |
| Donchian 채널 돌파 entryN=118, exitN=62 |
3.1% | -45.4% | 0.29 | 0.07 | 2.5x | 49 | 42% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
2.7% | -58.5% | 0.26 | 0.05 | 2.2x | 169 | 45% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=2.1 |
2.4% | -58.9% | 0.25 | 0.04 | 2.1x | 169 | 42% |
| Supertrend period=15, mult=5 |
1.9% | -68.3% | 0.20 | 0.03 | 1.8x | 137 | 52% |
| ADX / DI 방향성 period=19, threshold=33 |
0.7% | -15.9% | 0.20 | 0.04 | 1.2x | 28 | 4% |
| MACD fast=27, slow=62, signal=30 |
0.0% | -64.2% | 0.08 | 0.00 | 1.0x | 229 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.6% | -81.5% | -0.02 | -0.02 | 0.6x | 269 | 55% |
| Buy and hold | 5.1% | -73.6% | 0.32 | 0.07 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 189-day EMA
- Sell — Sell when the 50-day EMA falls below the 189-day EMA