Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares Edge MSCI World Quality Factor UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Edge MSCI World Quality Factor UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.8%, drawdown -32.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.1%, MDD -23.9%, Sharpe 0.70, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=35, threshold=-0.12 |
10.1% | -23.9% | 0.70 | 0.42 | 3.1x | 21 | 97% |
| Donchian 채널 돌파 entryN=35, exitN=79 |
6.8% | -28.8% | 0.56 | 0.24 | 2.2x | 21 | 82% |
| EMA 크로스오버 fast=12, slow=89 |
5.8% | -22.4% | 0.52 | 0.26 | 2.0x | 39 | 75% |
| Supertrend period=28, mult=4.7 |
6.0% | -23.6% | 0.46 | 0.25 | 2.0x | 55 | 71% |
| ADX / DI 방향성 period=22, threshold=36 |
0.6% | -1.6% | 0.42 | 0.36 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=9, slow=191 |
3.7% | -27.1% | 0.35 | 0.14 | 1.5x | 41 | 72% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.7% | -26.3% | 0.13 | 0.03 | 1.1x | 108 | 61% |
| MACD fast=16, slow=51, signal=14 |
-0.0% | -30.2% | 0.05 | -0.00 | 1.0x | 158 | 51% |
| 볼린저 밴드 돌파 n=53, k=1.2 |
-0.5% | -30.4% | -0.01 | -0.02 | 0.9x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=27, mult=1.6 |
-1.0% | -27.8% | -0.06 | -0.04 | 0.9x | 107 | 54% |
| Buy and hold | 9.8% | -32.3% | 0.48 | 0.30 | 3.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 35-day return is greater than -12%
- Sell — Sell when the 35-day return drops to -12% or below