Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core MSCI Europe ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Europe ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.4%, MDD -23.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -41.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -3.4%, Sharpe 0.41, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.4%, MDD -23.3%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 37.7%p (CAGR 3.4%, MDD -23.3%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=3 |
0.9% | -3.4% | 0.41 | 0.26 | 1.1x | 5 | 2% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=22, mult=3.2 |
0.5% | -2.7% | 0.39 | 0.18 | 1.1x | 4 | 2% |
| EMA 크로스오버 fast=51, slow=77 |
3.4% | -23.3% | 0.33 | 0.15 | 1.5x | 25 | 61% |
| Donchian 채널 돌파 entryN=64, exitN=95 |
3.4% | -26.7% | 0.32 | 0.13 | 1.5x | 15 | 71% |
| SMA 크로스오버 fast=24, slow=141 |
2.8% | -26.1% | 0.28 | 0.11 | 1.4x | 25 | 60% |
| ADX / DI 방향성 period=36, threshold=24 |
0.3% | -4.0% | 0.20 | 0.08 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=108, threshold=-0.02 |
1.1% | -34.6% | 0.15 | 0.03 | 1.1x | 79 | 65% |
| Supertrend period=25, mult=5 |
-0.1% | -32.5% | 0.05 | -0.00 | 1.0x | 53 | 58% |
| MACD fast=22, slow=69, signal=18 |
-0.5% | -28.9% | 0.00 | -0.02 | 0.9x | 105 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.7% | -46.7% | -0.27 | -0.08 | 0.6x | 113 | 58% |
| Buy and hold | 3.6% | -41.1% | 0.28 | 0.09 | 1.5x | 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 17-day average (3× volatility)
- Sell — Sell when the close falls back to the 17-day middle average