Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Intl Momentum Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Intl Momentum Factor 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 5.5%, MDD -20.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -34.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -20.6%, Sharpe 0.47, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 14.1%p (CAGR 5.5%, MDD -20.6%, exposure 69%).
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=20, slow=168 |
5.5% | -20.6% | 0.47 | 0.27 | 1.9x | 15 | 69% |
| SMA 크로스오버 fast=59, slow=152 |
4.9% | -29.8% | 0.41 | 0.17 | 1.8x | 13 | 63% |
| ADX / DI 방향성 period=34, threshold=19 |
1.1% | -11.2% | 0.32 | 0.10 | 1.1x | 6 | 11% |
| ROC 모멘텀 n=140, threshold=-0.04 |
2.8% | -24.5% | 0.27 | 0.11 | 1.4x | 63 | 74% |
| Donchian 채널 돌파 entryN=71, exitN=79 |
1.4% | -28.6% | 0.17 | 0.05 | 1.2x | 19 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=21, mult=3.3 |
0.4% | -17.6% | 0.08 | 0.02 | 1.0x | 42 | 38% |
| Supertrend period=13, mult=5 |
0.1% | -35.4% | 0.08 | 0.00 | 1.0x | 59 | 59% |
| 볼린저 밴드 돌파 n=36, k=2.4 |
-0.8% | -15.4% | -0.11 | -0.05 | 0.9x | 36 | 21% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-4.6% | -49.7% | -0.33 | -0.09 | 0.6x | 101 | 61% |
| MACD fast=11, slow=58, signal=16 |
-4.8% | -43.9% | -0.41 | -0.11 | 0.6x | 165 | 51% |
| Buy and hold | 6.2% | -34.7% | 0.40 | 0.18 | 2.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 20-day EMA crosses above the 168-day EMA
- Sell — Sell when the 20-day EMA falls below the 168-day EMA