Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares MSCI India UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI India UCITS ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.8%, MDD -17.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.7%, drawdown -41.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -17.5%, Sharpe 0.62, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 7.8%, MDD -17.5%, exposure 63%).
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=26, slow=30 |
7.8% | -17.5% | 0.62 | 0.44 | 1.9x | 32 | 63% |
| 볼린저 밴드 돌파 n=23, k=2.9 |
2.1% | -4.7% | 0.60 | 0.45 | 1.2x | 6 | 7% |
| ROC 모멘텀 n=102, threshold=0.03 |
5.8% | -19.3% | 0.54 | 0.30 | 1.6x | 45 | 49% |
| SMA 크로스오버 fast=19, slow=95 |
5.5% | -22.8% | 0.48 | 0.24 | 1.6x | 23 | 61% |
| Donchian 채널 돌파 entryN=60, exitN=80 |
5.5% | -22.4% | 0.48 | 0.25 | 1.6x | 13 | 64% |
| Supertrend period=28, mult=4.4 |
3.1% | -34.3% | 0.29 | 0.09 | 1.3x | 45 | 65% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=3.9 |
1.2% | -9.9% | 0.25 | 0.13 | 1.1x | 20 | 18% |
| ADX / DI 방향성 period=27, threshold=26 |
0.5% | -4.9% | 0.18 | 0.10 | 1.0x | 8 | 4% |
| MACD fast=15, slow=23, signal=15 |
-2.1% | -31.8% | -0.11 | -0.07 | 0.8x | 128 | 48% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-4.9% | -37.6% | -0.32 | -0.13 | 0.7x | 209 | 56% |
| Buy and hold | 6.7% | -41.1% | 0.41 | 0.16 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 26-day EMA crosses above the 30-day EMA
- Sell — Sell when the 26-day EMA falls below the 30-day EMA