Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI ACWI ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI ACWI ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.2%, MDD -21.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.4%, drawdown -56.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -21.5%, Sharpe 0.57, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 34.8%p (CAGR 6.2%, MDD -21.5%, exposure 72%).
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=55, slow=86 |
6.2% | -21.5% | 0.57 | 0.29 | 3.0x | 27 | 72% |
| SMA 크로스오버 fast=19, slow=189 |
5.8% | -21.7% | 0.54 | 0.27 | 2.8x | 27 | 72% |
| Donchian 채널 돌파 entryN=56, exitN=69 |
5.4% | -24.0% | 0.48 | 0.22 | 2.6x | 31 | 73% |
| Supertrend period=18, mult=5 |
3.9% | -27.2% | 0.40 | 0.14 | 2.0x | 65 | 64% |
| ROC 모멘텀 n=128, threshold=-0.04 |
4.4% | -33.0% | 0.40 | 0.13 | 2.2x | 87 | 79% |
| 볼린저 밴드 돌파 n=75, k=1.2 |
1.9% | -23.9% | 0.24 | 0.08 | 1.4x | 86 | 55% |
| ADX / DI 방향성 period=38, threshold=37 |
0.1% | -4.0% | 0.10 | 0.02 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=4 |
-0.6% | -32.0% | -0.04 | -0.02 | 0.9x | 54 | 29% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.0% | -49.6% | -0.11 | -0.04 | 0.7x | 186 | 62% |
| MACD fast=16, slow=34, signal=7 |
-6.2% | -71.1% | -0.46 | -0.09 | 0.3x | 362 | 51% |
| Buy and hold | 6.4% | -56.3% | 0.41 | 0.11 | 3.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 86-day EMA
- Sell — Sell when the 55-day EMA falls below the 86-day EMA