Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Asia Pacific Dividend UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Asia Pacific Dividend UCITS ETF. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.2%, MDD -8.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -45.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.2%, MDD -8.2%, Sharpe 0.59, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 37.0%p (CAGR 3.2%, MDD -8.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=31, mult=4 |
3.2% | -8.2% | 0.59 | 0.39 | 1.7x | 16 | 7% |
| ROC 모멘텀 n=93, threshold=0.21 |
1.7% | -11.0% | 0.40 | 0.15 | 1.3x | 14 | 4% |
| Donchian 채널 돌파 entryN=73, exitN=58 |
2.8% | -28.3% | 0.31 | 0.10 | 1.6x | 31 | 50% |
| EMA 크로스오버 fast=75, slow=129 |
2.8% | -36.2% | 0.30 | 0.08 | 1.6x | 27 | 56% |
| ADX / DI 방향성 period=17, threshold=30 |
1.4% | -17.6% | 0.30 | 0.08 | 1.3x | 24 | 6% |
| SMA 크로스오버 fast=54, slow=166 |
2.4% | -24.7% | 0.27 | 0.10 | 1.5x | 29 | 53% |
| 볼린저 밴드 돌파 n=48, k=2.8 |
1.2% | -15.8% | 0.24 | 0.07 | 1.2x | 26 | 14% |
| Supertrend period=37, mult=5 |
1.4% | -53.9% | 0.17 | 0.03 | 1.3x | 73 | 58% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-1.5% | -65.0% | -0.07 | -0.02 | 0.8x | 204 | 56% |
| MACD fast=14, slow=25, signal=17 |
-2.7% | -64.0% | -0.19 | -0.04 | 0.6x | 258 | 50% |
| Buy and hold | 4.1% | -45.2% | 0.32 | 0.09 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average