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 8.1%, MDD -17.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -41.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.1%, MDD -17.5%, Sharpe 0.64, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 8.1%, MDD -17.5%, exposure 62%).
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 |
8.1% | -17.5% | 0.64 | 0.47 | 1.9x | 31 | 62% |
| 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 |
6.3% | -19.3% | 0.59 | 0.33 | 1.6x | 42 | 48% |
| Donchian 채널 돌파 entryN=60, exitN=80 |
6.0% | -19.2% | 0.51 | 0.31 | 1.6x | 12 | 63% |
| SMA 크로스오버 fast=19, slow=95 |
5.8% | -22.8% | 0.50 | 0.25 | 1.6x | 23 | 60% |
| Supertrend period=28, mult=4.4 |
3.4% | -34.3% | 0.31 | 0.10 | 1.3x | 45 | 64% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=3.9 |
1.3% | -9.9% | 0.25 | 0.13 | 1.1x | 20 | 18% |
| ADX / DI 방향성 period=27, threshold=26 |
0.5% | -4.9% | 0.18 | 0.11 | 1.0x | 8 | 4% |
| MACD fast=15, slow=23, signal=15 |
-1.9% | -31.8% | -0.09 | -0.06 | 0.9x | 126 | 48% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-4.7% | -37.6% | -0.30 | -0.12 | 0.7x | 207 | 56% |
| Buy and hold | 7.0% | -41.1% | 0.42 | 0.17 | 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