Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares MSCI Emerging Markets ETF CDI backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Emerging Markets ETF CDI. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.8%, MDD -16.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.7%, drawdown -45.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.3%, MDD -23.2%, Sharpe 0.40, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 2.8%, MDD -16.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=88, slow=175 |
4.3% | -23.2% | 0.40 | 0.19 | 2.2x | 13 | 66% |
| SMA 크로스오버 fast=38, slow=187 |
4.3% | -24.2% | 0.39 | 0.18 | 2.2x | 19 | 65% |
| Donchian 채널 돌파 entryN=119, exitN=102 |
2.8% | -16.9% | 0.29 | 0.16 | 1.7x | 17 | 60% |
| ROC 모멘텀 n=121, threshold=-0.04 |
2.8% | -35.1% | 0.27 | 0.08 | 1.7x | 87 | 74% |
| ADX / DI 방향성 period=33, threshold=18 |
-0.1% | -21.3% | 0.03 | -0.00 | 1.0x | 44 | 27% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
-0.1% | -7.6% | -0.01 | -0.01 | 1.0x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=24, mult=3.6 |
-0.9% | -26.0% | -0.18 | -0.04 | 0.8x | 24 | 8% |
| Supertrend period=22, mult=3.1 |
-3.2% | -53.9% | -0.19 | -0.06 | 0.5x | 120 | 59% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.4% | -61.0% | -0.30 | -0.07 | 0.4x | 157 | 58% |
| MACD fast=19, slow=33, signal=19 |
-7.7% | -81.1% | -0.59 | -0.10 | 0.2x | 249 | 52% |
| Buy and hold | 2.7% | -45.9% | 0.24 | 0.06 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 88-day EMA crosses above the 175-day EMA
- Sell — Sell when the 88-day EMA falls below the 175-day EMA