Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck MSCI Multifactor Emerging Equity ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck MSCI Multifactor Emerging Equity ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -23.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -23.7%, Sharpe 0.56, 71% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=204 |
7.6% | -23.7% | 0.56 | 0.32 | 1.9x | 7 | 71% |
| ROC 모멘텀 n=129, threshold=-0.04 |
6.8% | -23.7% | 0.51 | 0.29 | 1.7x | 27 | 75% |
| EMA 크로스오버 fast=16, slow=203 |
6.2% | -23.7% | 0.49 | 0.26 | 1.7x | 13 | 71% |
| Donchian 채널 돌파 entryN=100, exitN=104 |
5.2% | -23.7% | 0.42 | 0.22 | 1.5x | 9 | 67% |
| ADX / DI 방향성 period=22, threshold=38 |
1.4% | -10.7% | 0.29 | 0.13 | 1.1x | 6 | 11% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=28, mult=3.5 |
0.6% | -5.0% | 0.20 | 0.12 | 1.1x | 10 | 5% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
0.7% | -12.5% | 0.15 | 0.06 | 1.1x | 10 | 16% |
| Supertrend period=7, mult=3.4 |
0.7% | -27.4% | 0.12 | 0.02 | 1.1x | 68 | 62% |
| MACD fast=17, slow=27, signal=22 |
-1.1% | -29.9% | -0.04 | -0.04 | 0.9x | 97 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.6% | -32.8% | -0.23 | -0.11 | 0.7x | 71 | 61% |
| Buy and hold | 7.0% | -23.7% | 0.48 | 0.30 | 1.8x | 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 59-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 59-day average falls below the 204-day average