Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI EAFE Small-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI EAFE Small-Cap ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -20.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.7%, drawdown -62.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -22.3%, Sharpe 0.46, 62% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 40.5%p (CAGR 2.7%, MDD -20.4%, exposure 37%).
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=25, slow=109 |
5.0% | -22.3% | 0.46 | 0.23 | 2.5x | 41 | 62% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=3.4 |
2.7% | -20.4% | 0.35 | 0.13 | 1.6x | 64 | 37% |
| EMA 크로스오버 fast=24, slow=83 |
3.6% | -23.7% | 0.35 | 0.15 | 1.9x | 51 | 64% |
| ROC 모멘텀 n=134, threshold=-0.06 |
3.4% | -32.2% | 0.32 | 0.11 | 1.9x | 77 | 75% |
| Donchian 채널 돌파 entryN=30, exitN=46 |
3.2% | -33.1% | 0.31 | 0.10 | 1.8x | 61 | 66% |
| Supertrend period=23, mult=4.9 |
2.7% | -37.7% | 0.28 | 0.07 | 1.7x | 79 | 64% |
| 볼린저 밴드 돌파 n=20, k=3.4 |
0.2% | -2.6% | 0.26 | 0.07 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=37, threshold=19 |
0.4% | -20.2% | 0.10 | 0.02 | 1.1x | 24 | 9% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.2% | -30.0% | 0.05 | -0.01 | 1.0x | 170 | 57% |
| MACD fast=18, slow=43, signal=15 |
-3.9% | -64.3% | -0.24 | -0.06 | 0.5x | 237 | 50% |
| Buy and hold | 2.7% | -62.8% | 0.23 | 0.04 | 1.6x | 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 25-day average price crosses above the 109-day average
- Sell — Sell (to cash) when the 25-day average falls below the 109-day average