Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Saudi Arabia ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Saudi Arabia ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.3%, MDD -22.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.8%, drawdown -41.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -22.3%, Sharpe 0.42, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 4.3%, MDD -22.3%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=36, exitN=39 |
4.3% | -22.3% | 0.42 | 0.19 | 1.6x | 31 | 55% |
| Supertrend period=18, mult=4.3 |
3.4% | -24.3% | 0.33 | 0.14 | 1.4x | 65 | 58% |
| 볼린저 밴드 돌파 n=32, k=1.8 |
2.0% | -19.5% | 0.27 | 0.10 | 1.2x | 69 | 33% |
| SMA 크로스오버 fast=22, slow=72 |
2.2% | -36.0% | 0.25 | 0.06 | 1.3x | 37 | 54% |
| ADX / DI 방향성 period=35, threshold=11 |
2.0% | -28.4% | 0.24 | 0.07 | 1.2x | 81 | 40% |
| EMA 크로스오버 fast=40, slow=56 |
1.6% | -39.0% | 0.20 | 0.04 | 1.2x | 33 | 55% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=26, mult=3.1 |
1.0% | -21.9% | 0.16 | 0.05 | 1.1x | 49 | 27% |
| ROC 모멘텀 n=56, threshold=-0.06 |
1.1% | -44.1% | 0.15 | 0.02 | 1.1x | 77 | 81% |
| MACD fast=15, slow=52, signal=16 |
-0.6% | -36.3% | 0.01 | -0.02 | 0.9x | 127 | 47% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-2.9% | -40.2% | -0.16 | -0.07 | 0.7x | 269 | 54% |
| Buy and hold | 3.8% | -41.8% | 0.28 | 0.09 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 36 days
- Sell — Sell when price breaks below the lowest low of the last 39 days