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 4.2%, MDD -22.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.3%, drawdown -41.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -22.3%, Sharpe 0.41, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 4.2%, 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 |
4.2% | -22.3% | 0.41 | 0.19 | 1.6x | 30 | 55% |
| Supertrend period=18, mult=4.3 |
3.3% | -23.4% | 0.32 | 0.14 | 1.4x | 64 | 57% |
| 볼린저 밴드 돌파 n=32, k=1.8 |
2.1% | -18.6% | 0.28 | 0.12 | 1.3x | 68 | 34% |
| SMA 크로스오버 fast=22, slow=72 |
2.4% | -34.9% | 0.26 | 0.07 | 1.3x | 36 | 54% |
| ADX / DI 방향성 period=35, threshold=11 |
2.1% | -28.4% | 0.26 | 0.08 | 1.3x | 80 | 40% |
| EMA 크로스오버 fast=40, slow=56 |
1.8% | -38.1% | 0.21 | 0.05 | 1.2x | 32 | 55% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=26, mult=3.1 |
1.1% | -21.0% | 0.18 | 0.05 | 1.1x | 48 | 27% |
| ROC 모멘텀 n=56, threshold=-0.06 |
0.6% | -44.1% | 0.12 | 0.01 | 1.1x | 77 | 81% |
| MACD fast=15, slow=52, signal=16 |
-0.8% | -36.3% | -0.01 | -0.02 | 0.9x | 126 | 47% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-3.1% | -40.2% | -0.18 | -0.08 | 0.7x | 268 | 54% |
| Buy and hold | 3.3% | -41.8% | 0.26 | 0.08 | 1.4x | 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