Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core MSCI Total International Stock ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Total International Stock ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -21.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.1%, drawdown -39.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -21.3%, Sharpe 0.50, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 5.2%, MDD -21.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=106 |
5.2% | -21.3% | 0.50 | 0.24 | 2.0x | 29 | 60% |
| EMA 크로스오버 fast=44, slow=82 |
3.3% | -20.1% | 0.34 | 0.17 | 1.6x | 27 | 66% |
| Supertrend period=15, mult=5 |
2.7% | -27.3% | 0.31 | 0.10 | 1.4x | 53 | 62% |
| ROC 모멘텀 n=117, threshold=-0.02 |
1.9% | -30.6% | 0.22 | 0.06 | 1.3x | 69 | 68% |
| Donchian 채널 돌파 entryN=54, exitN=63 |
1.8% | -23.3% | 0.21 | 0.08 | 1.3x | 31 | 63% |
| 볼린저 밴드 돌파 n=41, k=2.8 |
0.7% | -12.5% | 0.18 | 0.06 | 1.1x | 14 | 9% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-0.1% | -36.7% | 0.04 | -0.00 | 1.0x | 85 | 65% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=14, mult=3.2 |
-1.3% | -30.0% | -0.13 | -0.04 | 0.8x | 60 | 36% |
| ADX / DI 방향성 period=36, threshold=23 |
-0.2% | -3.4% | -0.18 | -0.06 | 1.0x | 4 | 1% |
| MACD fast=19, slow=22, signal=14 |
-4.5% | -55.2% | -0.41 | -0.08 | 0.5x | 205 | 49% |
| Buy and hold | 5.1% | -39.9% | 0.39 | 0.13 | 2.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 44-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 44-day average falls below the 106-day average