Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Intl Value Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Intl Value Factor ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.8%, MDD -24.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.3%, drawdown -45.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.8%, MDD -24.1%, Sharpe 0.55, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR 5.8%, MDD -24.1%, exposure 62%).
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=52, slow=196 |
5.8% | -24.1% | 0.55 | 0.24 | 1.9x | 9 | 62% |
| SMA 크로스오버 fast=22, slow=184 |
5.7% | -28.7% | 0.53 | 0.20 | 1.9x | 15 | 62% |
| ROC 모멘텀 n=99, threshold=-0.09 |
5.2% | -46.7% | 0.42 | 0.11 | 1.8x | 49 | 86% |
| Donchian 채널 돌파 entryN=70, exitN=70 |
3.2% | -29.0% | 0.33 | 0.11 | 1.4x | 19 | 59% |
| 볼린저 밴드 돌파 n=39, k=3.3 |
0.5% | -6.8% | 0.18 | 0.07 | 1.1x | 6 | 5% |
| ADX / DI 방향성 period=32, threshold=13 |
0.6% | -20.1% | 0.12 | 0.03 | 1.1x | 76 | 34% |
| Supertrend period=14, mult=5 |
0.4% | -27.8% | 0.10 | 0.02 | 1.1x | 55 | 60% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=2.6 |
-0.9% | -23.4% | -0.06 | -0.04 | 0.9x | 63 | 44% |
| MACD fast=18, slow=32, signal=14 |
-1.3% | -39.1% | -0.06 | -0.03 | 0.9x | 148 | 49% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-1.6% | -33.6% | -0.08 | -0.05 | 0.8x | 185 | 56% |
| Buy and hold | 5.3% | -45.4% | 0.37 | 0.12 | 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 52-day EMA crosses above the 196-day EMA
- Sell — Sell when the 52-day EMA falls below the 196-day EMA