Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares MSCI Emerging Markets Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Emerging Markets Index ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.5%, drawdown -36.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -25.3%, Sharpe 0.32, 55% 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=45, slow=115 |
3.3% | -25.3% | 0.32 | 0.13 | 1.7x | 35 | 55% |
| Donchian 채널 돌파 entryN=55, exitN=72 |
2.4% | -28.2% | 0.25 | 0.08 | 1.5x | 31 | 61% |
| EMA 크로스오버 fast=43, slow=212 |
2.3% | -31.8% | 0.24 | 0.07 | 1.5x | 25 | 60% |
| MACD fast=40, slow=49, signal=24 |
0.6% | -36.6% | 0.11 | 0.02 | 1.1x | 114 | 52% |
| 볼린저 밴드 돌파 n=52, k=1.8 |
0.3% | -30.7% | 0.08 | 0.01 | 1.0x | 74 | 37% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=3.8 |
0.3% | -32.7% | 0.08 | 0.01 | 1.0x | 58 | 33% |
| ROC 모멘텀 n=114, threshold=-0.01 |
-0.6% | -50.6% | 0.01 | -0.01 | 0.9x | 145 | 63% |
| Supertrend period=25, mult=4.9 |
-0.7% | -34.6% | 0.00 | -0.02 | 0.9x | 92 | 55% |
| ADX / DI 방향성 period=19, threshold=34 |
-0.3% | -10.4% | -0.18 | -0.03 | 1.0x | 6 | 1% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-7.2% | -77.4% | -0.54 | -0.09 | 0.3x | 280 | 56% |
| Buy and hold | 4.5% | -36.9% | 0.33 | 0.12 | 2.1x | 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 45-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 45-day average falls below the 115-day average