Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Latin America 40 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Latin America 40 ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.9%, MDD -53.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.0%, drawdown -74.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -53.1%, Sharpe 0.44, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.5%, MDD -68.9%, exposure 80%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 6.9%, MDD -53.1%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=15, slow=183 |
6.9% | -53.1% | 0.44 | 0.13 | 5.2x | 59 | 57% |
| EMA 크로스오버 fast=44, slow=159 |
6.6% | -60.3% | 0.43 | 0.11 | 4.9x | 37 | 58% |
| Donchian 채널 돌파 entryN=15, exitN=64 |
7.5% | -68.9% | 0.43 | 0.11 | 6.0x | 81 | 80% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=16, mult=3.6 |
4.4% | -43.8% | 0.37 | 0.10 | 2.9x | 68 | 37% |
| ROC 모멘텀 n=145, threshold=0.03 |
4.2% | -55.1% | 0.31 | 0.08 | 2.7x | 181 | 52% |
| Supertrend period=18, mult=4.9 |
3.6% | -70.9% | 0.29 | 0.05 | 2.4x | 104 | 53% |
| 볼린저 밴드 돌파 n=36, k=2.6 |
2.2% | -29.6% | 0.27 | 0.07 | 1.7x | 56 | 17% |
| MACD fast=19, slow=51, signal=17 |
2.2% | -51.4% | 0.21 | 0.04 | 1.7x | 251 | 50% |
| ADX / DI 방향성 period=35, threshold=13 |
0.6% | -46.9% | 0.11 | 0.01 | 1.2x | 164 | 25% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-4.9% | -90.8% | -0.15 | -0.05 | 0.3x | 391 | 55% |
| Buy and hold | 6.0% | -74.4% | 0.34 | 0.08 | 4.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 15-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 15-day average falls below the 183-day average