Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Mexico ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Mexico ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.3%, MDD -44.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -67.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -44.7%, Sharpe 0.40, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 22.6%p (CAGR 5.3%, MDD -44.7%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=40 |
5.3% | -44.7% | 0.40 | 0.12 | 4.8x | 68 | 48% |
| 볼린저 밴드 돌파 n=77, k=2 |
3.9% | -48.6% | 0.35 | 0.08 | 3.2x | 84 | 35% |
| Supertrend period=14, mult=5 |
4.6% | -56.8% | 0.34 | 0.08 | 3.9x | 102 | 55% |
| SMA 크로스오버 fast=12, slow=163 |
4.4% | -57.4% | 0.33 | 0.08 | 3.7x | 85 | 57% |
| EMA 크로스오버 fast=31, slow=179 |
3.7% | -56.0% | 0.29 | 0.07 | 3.1x | 55 | 59% |
| ROC 모멘텀 n=77, threshold=0.05 |
2.5% | -44.7% | 0.24 | 0.06 | 2.1x | 350 | 44% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=15, mult=4 |
1.4% | -29.4% | 0.21 | 0.05 | 1.5x | 52 | 13% |
| ADX / DI 방향성 period=38, threshold=11 |
0.0% | -66.2% | 0.08 | 0.00 | 1.0x | 244 | 38% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.0% | -72.8% | 0.04 | -0.01 | 0.7x | 281 | 57% |
| MACD fast=16, slow=23, signal=18 |
-1.2% | -69.3% | 0.02 | -0.02 | 0.7x | 433 | 50% |
| Buy and hold | 6.8% | -67.3% | 0.37 | 0.10 | 7.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 40 days