Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI United Kingdom ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI United Kingdom ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.1%, MDD -28.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.2%, drawdown -66.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.1%, MDD -28.1%, Sharpe 0.37, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 4.1%, MDD -28.1%, exposure 61%).
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=123 |
4.1% | -28.1% | 0.37 | 0.15 | 3.4x | 39 | 61% |
| SMA 크로스오버 fast=25, slow=183 |
2.9% | -39.6% | 0.28 | 0.07 | 2.4x | 49 | 59% |
| Donchian 채널 돌파 entryN=113, exitN=134 |
2.3% | -39.3% | 0.24 | 0.06 | 2.0x | 27 | 59% |
| ADX / DI 방향성 period=18, threshold=39 |
0.1% | -2.4% | 0.13 | 0.04 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
0.1% | -6.7% | 0.10 | 0.02 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=131, threshold=-0.02 |
-0.5% | -66.9% | 0.03 | -0.01 | 0.9x | 219 | 65% |
| Supertrend period=11, mult=5 |
-1.0% | -66.7% | -0.01 | -0.01 | 0.7x | 113 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=4 |
-0.1% | -6.3% | -0.07 | -0.02 | 1.0x | 4 | 0% |
| MACD fast=31, slow=64, signal=34 |
-2.0% | -57.7% | -0.08 | -0.03 | 0.5x | 191 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.2% | -74.6% | -0.15 | -0.04 | 0.4x | 253 | 58% |
| Buy and hold | 2.2% | -66.9% | 0.21 | 0.03 | 1.9x | 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 123-day EMA
- Sell — Sell when the 50-day EMA falls below the 123-day EMA