Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI All Country Asia ex Japan ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI All Country Asia ex Japan ETF. 2 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 5.4%, MDD -30.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.8%, drawdown -49.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -30.1%, Sharpe 0.44, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 5.4%, MDD -30.1%, 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=61, exitN=73 |
5.4% | -30.1% | 0.44 | 0.18 | 2.6x | 31 | 55% |
| SMA 크로스오버 fast=26, slow=101 |
4.8% | -38.6% | 0.39 | 0.12 | 2.3x | 47 | 56% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=1.7 |
3.2% | -35.7% | 0.31 | 0.09 | 1.8x | 106 | 45% |
| ROC 모멘텀 n=141, threshold=-0.1 |
4.1% | -41.2% | 0.31 | 0.10 | 2.0x | 77 | 82% |
| 볼린저 밴드 돌파 n=50, k=1.4 |
3.0% | -29.2% | 0.29 | 0.10 | 1.7x | 92 | 43% |
| EMA 크로스오버 fast=45, slow=78 |
3.2% | -36.7% | 0.29 | 0.09 | 1.8x | 47 | 59% |
| Supertrend period=21, mult=5 |
3.1% | -37.9% | 0.28 | 0.08 | 1.7x | 74 | 58% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.0% | -44.2% | 0.07 | -0.00 | 1.0x | 157 | 55% |
| ADX / DI 방향성 period=36, threshold=12 |
-0.8% | -45.1% | -0.03 | -0.02 | 0.9x | 120 | 26% |
| MACD fast=14, slow=59, signal=17 |
-2.2% | -63.4% | -0.08 | -0.03 | 0.7x | 221 | 50% |
| Buy and hold | 4.8% | -49.6% | 0.31 | 0.10 | 2.3x | 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 61 days
- Sell — Sell when price breaks below the lowest low of the last 73 days