Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares ESG Aware MSCI EAFE ETF backtest
10 trend-following strategies were compared on the full daily history of iShares ESG Aware MSCI EAFE ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.4%, MDD -19.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.3%, drawdown -36.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -19.5%, Sharpe 0.59, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 6.4%, MDD -19.5%, exposure 69%).
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=40, slow=112 |
6.4% | -19.5% | 0.59 | 0.33 | 1.9x | 13 | 69% |
| SMA 크로스오버 fast=30, slow=121 |
6.1% | -18.8% | 0.57 | 0.33 | 1.8x | 19 | 65% |
| ROC 모멘텀 n=91, threshold=-0.07 |
5.7% | -23.3% | 0.49 | 0.24 | 1.7x | 39 | 83% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=28, mult=3.9 |
1.2% | -6.4% | 0.35 | 0.19 | 1.1x | 12 | 9% |
| Donchian 채널 돌파 entryN=72, exitN=79 |
2.7% | -27.6% | 0.30 | 0.10 | 1.3x | 17 | 65% |
| Supertrend period=29, mult=4.8 |
1.9% | -28.7% | 0.22 | 0.07 | 1.2x | 47 | 65% |
| 볼린저 밴드 돌파 n=20, k=3 |
0.5% | -6.5% | 0.20 | 0.07 | 1.0x | 10 | 6% |
| ADX / DI 방향성 period=19, threshold=37 |
0.0% | -2.5% | 0.01 | 0.00 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.3% | -30.1% | -0.07 | -0.04 | 0.9x | 91 | 62% |
| MACD fast=17, slow=58, signal=12 |
-3.7% | -41.5% | -0.32 | -0.09 | 0.7x | 137 | 49% |
| Buy and hold | 6.3% | -36.3% | 0.44 | 0.17 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 112-day EMA
- Sell — Sell when the 40-day EMA falls below the 112-day EMA