Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI New Zealand ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI New Zealand ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -45.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.3%, MDD -45.2%, Sharpe 0.27, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=6, threshold=-0.1 |
3.3% | -45.2% | 0.27 | 0.07 | 1.7x | 7 | 100% |
| Donchian 채널 돌파 entryN=27, exitN=40 |
1.1% | -44.9% | 0.15 | 0.02 | 1.2x | 59 | 65% |
| Supertrend period=27, mult=4.5 |
0.9% | -29.9% | 0.13 | 0.03 | 1.1x | 71 | 54% |
| SMA 크로스오버 fast=15, slow=44 |
0.2% | -31.5% | 0.08 | 0.01 | 1.0x | 95 | 55% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=27, mult=3.7 |
0.0% | -6.4% | 0.02 | 0.00 | 1.0x | 8 | 2% |
| EMA 크로스오버 fast=52, slow=68 |
-0.9% | -39.6% | -0.00 | -0.02 | 0.9x | 45 | 58% |
| 볼린저 밴드 돌파 n=47, k=2.5 |
-0.4% | -19.6% | -0.01 | -0.02 | 0.9x | 42 | 20% |
| ADX / DI 방향성 period=15, threshold=31 |
-0.4% | -18.1% | -0.07 | -0.02 | 0.9x | 34 | 6% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.0% | -49.1% | -0.18 | -0.06 | 0.6x | 147 | 53% |
| MACD fast=27, slow=52, signal=23 |
-3.0% | -52.6% | -0.18 | -0.06 | 0.6x | 139 | 50% |
| Buy and hold | 3.7% | -45.1% | 0.28 | 0.08 | 1.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 6-day return is greater than -10%
- Sell — Sell when the 6-day return drops to -10% or below