Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares MSCI Europe ex-UK GBP Hedged UCITS ETF (Dist) backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Europe ex-UK GBP Hedged UCITS ETF (Dist). 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -35.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -3.4%, Sharpe 0.44, 5% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.1%, MDD -28.9%, exposure 69%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3.1 |
0.9% | -3.4% | 0.44 | 0.26 | 1.1x | 2 | 5% |
| EMA 크로스오버 fast=47, slow=128 |
4.1% | -28.9% | 0.41 | 0.14 | 1.6x | 15 | 69% |
| SMA 크로스오버 fast=51, slow=163 |
3.4% | -36.5% | 0.34 | 0.09 | 1.5x | 13 | 66% |
| Supertrend period=29, mult=4.5 |
2.9% | -26.6% | 0.31 | 0.11 | 1.4x | 53 | 70% |
| ROC 모멘텀 n=138, threshold=-0.03 |
2.7% | -29.2% | 0.29 | 0.09 | 1.4x | 51 | 73% |
| ADX / DI 방향성 period=34, threshold=20 |
0.5% | -4.2% | 0.24 | 0.13 | 1.1x | 6 | 5% |
| Donchian 채널 돌파 entryN=101, exitN=42 |
1.6% | -20.9% | 0.24 | 0.07 | 1.2x | 25 | 42% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=3.5 |
0.2% | -20.2% | 0.06 | 0.01 | 1.0x | 37 | 33% |
| MACD fast=19, slow=47, signal=22 |
-2.9% | -37.8% | -0.27 | -0.08 | 0.7x | 120 | 50% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.6% | -47.4% | -0.41 | -0.10 | 0.6x | 114 | 58% |
| Buy and hold | 6.0% | -35.8% | 0.43 | 0.17 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 57-day middle average