Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core MSCI International Developed Markets ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI International Developed Markets 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 6.4%, MDD -18.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -38.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -18.4%, Sharpe 0.59, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 19.9%p (CAGR 6.4%, MDD -18.4%, exposure 68%).
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=40, slow=97 |
6.4% | -18.4% | 0.59 | 0.35 | 1.8x | 13 | 68% |
| SMA 크로스오버 fast=32, slow=102 |
6.2% | -18.3% | 0.59 | 0.34 | 1.8x | 21 | 63% |
| ROC 모멘텀 n=84, threshold=-0.02 |
4.1% | -19.9% | 0.41 | 0.21 | 1.5x | 59 | 69% |
| Donchian 채널 돌파 entryN=46, exitN=78 |
3.9% | -25.7% | 0.38 | 0.15 | 1.4x | 17 | 73% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.3% | -1.6% | 0.34 | 0.21 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=3.7 |
1.4% | -15.3% | 0.21 | 0.09 | 1.1x | 30 | 38% |
| Supertrend period=21, mult=4.6 |
1.6% | -28.9% | 0.20 | 0.06 | 1.2x | 47 | 64% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.8% | -29.4% | -0.02 | -0.03 | 0.9x | 85 | 61% |
| ADX / DI 방향성 period=39, threshold=14 |
-0.6% | -18.1% | -0.10 | -0.03 | 0.9x | 24 | 15% |
| MACD fast=12, slow=42, signal=15 |
-3.3% | -36.6% | -0.28 | -0.09 | 0.7x | 144 | 48% |
| Buy and hold | 6.5% | -38.4% | 0.45 | 0.17 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 97-day EMA
- Sell — Sell when the 40-day EMA falls below the 97-day EMA