Trend-Following Backtester · Guide · backtest 한국어

etf · GB

iShares Core MSCI Pacific ex Japan UCITS ETF backtest

10 trend-following strategies were compared on the full daily history of iShares Core MSCI Pacific ex Japan UCITS 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 3.6%, MDD -29.6%).

Data 2010-01-12 ~ 2026-07-31daily bars 4,180 (16.5 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 4.0%, drawdown -53.9%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.6%, MDD -29.6%, Sharpe 0.35, 70% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 3.8%, MDD -56.7%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 24.3%p (CAGR 3.6%, MDD -29.6%, exposure 70%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=58, slow=406
3.6%-29.6%0.350.121.8x970%
ROC 모멘텀
Hold-like · Exposure 97%
n=22, threshold=-0.1
3.8%-56.7%0.270.071.8x3197%
SMA 크로스오버
fast=25, slow=250
1.7%-26.4%0.210.061.3x3364%
Donchian 채널 돌파
entryN=11, exitN=63
1.0%-54.1%0.160.021.2x6386%
ADX / DI 방향성
period=23, threshold=33
0.2%-8.1%0.120.031.0x82%
Supertrend
period=22, mult=4
-1.8%-55.2%0.04-0.030.7x13358%
Parabolic SAR
step=0.005, maxStep=0.1
-2.0%-53.2%0.03-0.040.7x13556%
Keltner 채널 돌파
emaPeriod=17, atrPeriod=29, mult=3.4
-2.8%-42.1%-0.03-0.070.6x5412%
볼린저 밴드 돌파
n=35, k=1.4
-3.6%-55.6%-0.05-0.070.5x13942%
MACD
fast=19, slow=31, signal=19
-3.9%-60.2%-0.05-0.060.5x19952%
Buy and hold4.0%-53.9%0.280.071.9x1100%
1x 2011 2013 2015 2017 2019 2021 2023 2025 ROC 모멘텀EMA 크로스오버Buy and hold
EMA 크로스오버 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -14% -28% -43% -57% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀EMA 크로스오버
EMA 크로스오버 maximum drawdown -29.6% (2019-07-29 → 2020-03-12), recovered after 2,236 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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