Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares Global 100 ETF CDI backtest
10 trend-following strategies were compared on the full daily history of iShares Global 100 ETF CDI. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.3%, MDD -22.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.3%, drawdown -43.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.3%, MDD -22.2%, Sharpe 0.86, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 10.3%, MDD -22.2%, exposure 74%).
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=177, slow=276 |
10.3% | -22.2% | 0.86 | 0.47 | 6.3x | 3 | 74% |
| SMA 크로스오버 fast=59, slow=241 |
9.1% | -22.3% | 0.79 | 0.41 | 5.1x | 15 | 71% |
| Donchian 채널 돌파 entryN=111, exitN=91 |
6.4% | -21.0% | 0.66 | 0.30 | 3.2x | 19 | 61% |
| ROC 모멘텀 n=119, threshold=-0.13 |
9.2% | -33.6% | 0.66 | 0.27 | 5.2x | 17 | 95% |
| 볼린저 밴드 돌파 n=35, k=2.8 |
1.9% | -12.2% | 0.45 | 0.15 | 1.4x | 30 | 14% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=3.2 |
3.1% | -20.2% | 0.43 | 0.15 | 1.8x | 63 | 37% |
| Supertrend period=22, mult=5 |
4.0% | -23.2% | 0.42 | 0.17 | 2.1x | 73 | 63% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.8% | -36.5% | 0.31 | 0.08 | 1.7x | 97 | 63% |
| MACD fast=23, slow=73, signal=20 |
2.0% | -37.1% | 0.25 | 0.05 | 1.4x | 147 | 52% |
| ADX / DI 방향성 period=23, threshold=31 |
0.8% | -10.9% | 0.21 | 0.07 | 1.2x | 24 | 11% |
| Buy and hold | 8.3% | -43.4% | 0.58 | 0.19 | 4.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 177-day EMA crosses above the 276-day EMA
- Sell — Sell when the 177-day EMA falls below the 276-day EMA