Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI World ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI World ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -34.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -20.9%, Sharpe 0.60, 78% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=21, slow=134 |
6.8% | -20.9% | 0.60 | 0.32 | 2.6x | 25 | 78% |
| SMA 크로스오버 fast=16, slow=188 |
6.4% | -20.9% | 0.56 | 0.30 | 2.5x | 27 | 76% |
| Donchian 채널 돌파 entryN=52, exitN=74 |
5.2% | -26.8% | 0.49 | 0.19 | 2.1x | 25 | 75% |
| ROC 모멘텀 n=126, threshold=-0.03 |
4.8% | -35.7% | 0.43 | 0.13 | 2.0x | 69 | 82% |
| Supertrend period=12, mult=4.7 |
3.6% | -25.4% | 0.39 | 0.14 | 1.7x | 63 | 64% |
| 볼린저 밴드 돌파 n=72, k=2.3 |
0.9% | -15.4% | 0.19 | 0.06 | 1.1x | 21 | 21% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.1% | -29.0% | 0.15 | 0.04 | 1.2x | 143 | 64% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.6 |
0.2% | -20.6% | 0.06 | 0.01 | 1.0x | 49 | 35% |
| ADX / DI 방향성 period=31, threshold=37 |
-0.0% | -3.5% | -0.03 | -0.01 | 1.0x | 2 | 0% |
| MACD fast=9, slow=33, signal=12 |
-5.3% | -59.3% | -0.48 | -0.09 | 0.5x | 296 | 51% |
| Buy and hold | 10.2% | -34.0% | 0.66 | 0.30 | 4.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 134-day EMA
- Sell — Sell when the 21-day EMA falls below the 134-day EMA