Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares MSCI Europe Quality Dividend ESG UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Europe Quality Dividend ESG UCITS ETF. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.9%, MDD -15.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.1%, drawdown -38.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.4%, MDD -14.2%, Sharpe 0.46, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 2.9%, MDD -15.1%, exposure 93%).
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 98% n=17, threshold=-0.1 |
5.4% | -14.2% | 0.46 | 0.38 | 1.6x | 5 | 98% |
| Donchian 채널 돌파 entryN=16, exitN=168 |
2.9% | -15.1% | 0.29 | 0.19 | 1.3x | 11 | 93% |
| EMA 크로스오버 fast=41, slow=262 |
1.7% | -14.0% | 0.21 | 0.12 | 1.2x | 9 | 69% |
| SMA 크로스오버 fast=43, slow=177 |
1.4% | -18.7% | 0.18 | 0.07 | 1.1x | 13 | 62% |
| ADX / DI 방향성 period=15, threshold=36 |
0.2% | -3.9% | 0.16 | 0.06 | 1.0x | 4 | 2% |
| Supertrend period=27, mult=4.3 |
-1.2% | -26.8% | -0.07 | -0.05 | 0.9x | 70 | 62% |
| MACD fast=14, slow=35, signal=43 |
-2.1% | -23.5% | -0.19 | -0.09 | 0.8x | 90 | 51% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=26, mult=4 |
-0.6% | -7.7% | -0.21 | -0.07 | 0.9x | 12 | 4% |
| 볼린저 밴드 돌파 n=52, k=2 |
-1.7% | -16.5% | -0.23 | -0.10 | 0.9x | 34 | 29% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-10.0% | -63.1% | -0.90 | -0.16 | 0.4x | 157 | 52% |
| Buy and hold | 2.1% | -38.3% | 0.21 | 0.05 | 1.2x | 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 17-day return is greater than -10%
- Sell — Sell when the 17-day return drops to -10% or below