Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core MSCI Emerging Markets IMI Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Emerging Markets IMI Index ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.5%, MDD -16.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -35.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.5%, MDD -16.3%, Sharpe 0.41, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 4.5%, MDD -16.3%, exposure 65%).
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=58, slow=88 |
4.5% | -16.3% | 0.41 | 0.28 | 1.8x | 21 | 65% |
| Donchian 채널 돌파 entryN=118, exitN=72 |
3.9% | -22.5% | 0.39 | 0.17 | 1.7x | 17 | 54% |
| SMA 크로스오버 fast=43, slow=163 |
4.5% | -29.9% | 0.39 | 0.15 | 1.8x | 21 | 61% |
| ROC 모멘텀 n=114, threshold=-0.04 |
3.4% | -35.5% | 0.32 | 0.10 | 1.6x | 71 | 74% |
| 볼린저 밴드 돌파 n=53, k=1.6 |
2.0% | -15.6% | 0.25 | 0.13 | 1.3x | 60 | 40% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.3% | -24.8% | 0.25 | 0.09 | 1.4x | 62 | 60% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=19, mult=3.9 |
1.6% | -18.3% | 0.22 | 0.09 | 1.2x | 40 | 37% |
| Supertrend period=23, mult=4.8 |
1.4% | -29.1% | 0.18 | 0.05 | 1.2x | 68 | 55% |
| ADX / DI 방향성 period=33, threshold=19 |
0.1% | -11.3% | 0.05 | 0.01 | 1.0x | 12 | 8% |
| MACD fast=24, slow=55, signal=29 |
-0.4% | -36.2% | 0.02 | -0.01 | 0.9x | 108 | 52% |
| Buy and hold | 5.9% | -35.0% | 0.41 | 0.17 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 88-day EMA
- Sell — Sell when the 58-day EMA falls below the 88-day EMA