Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares International Equity Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares International Equity Factor ETF. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.8%, MDD -22.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.8%, drawdown -43.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -11.6%, Sharpe 0.53, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.1%, MDD -28.4%, exposure 63%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 32.3%p (CAGR 4.8%, MDD -22.3%, exposure 60%).
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=67, k=2.3 |
2.7% | -11.6% | 0.53 | 0.24 | 1.4x | 11 | 21% |
| SMA 크로스오버 fast=21, slow=144 |
5.1% | -28.4% | 0.48 | 0.18 | 1.7x | 19 | 63% |
| EMA 크로스오버 fast=50, slow=216 |
4.8% | -22.3% | 0.48 | 0.21 | 1.7x | 13 | 60% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.09 |
4.6% | -36.0% | 0.36 | 0.13 | 1.7x | 11 | 99% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=25, mult=4 |
2.4% | -15.6% | 0.36 | 0.16 | 1.3x | 24 | 33% |
| Donchian 채널 돌파 entryN=77, exitN=79 |
3.0% | -26.2% | 0.33 | 0.11 | 1.4x | 17 | 61% |
| Supertrend period=10, mult=4.9 |
-0.2% | -22.0% | 0.03 | -0.01 | 1.0x | 53 | 54% |
| ADX / DI 방향성 period=29, threshold=27 |
-0.0% | -3.6% | 0.01 | -0.00 | 1.0x | 2 | 1% |
| MACD fast=19, slow=59, signal=19 |
-4.4% | -43.5% | -0.41 | -0.10 | 0.6x | 123 | 50% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-7.0% | -59.0% | -0.59 | -0.12 | 0.4x | 240 | 59% |
| Buy and hold | 4.8% | -43.9% | 0.36 | 0.11 | 1.7x | 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 67-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 67-day middle average