Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Edge MSCI World Minimum Volatility UCITS ETF USD backtest
10 trend-following strategies were compared on the full daily history of iShares Edge MSCI World Minimum Volatility UCITS ETF USD. 3 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 EMA 크로스오버 (CAGR 6.2%, MDD -20.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -38.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.8%, MDD -13.2%, Sharpe 0.80, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 6.2%, MDD -20.5%, exposure 82%).
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=27, threshold=-0.09 |
8.8% | -13.2% | 0.80 | 0.67 | 3.2x | 11 | 98% |
| Donchian 채널 돌파 Hold-like · Exposure 96% entryN=29, exitN=188 |
8.1% | -20.4% | 0.73 | 0.40 | 2.9x | 5 | 96% |
| EMA 크로스오버 fast=51, slow=215 |
6.2% | -20.5% | 0.63 | 0.30 | 2.3x | 11 | 82% |
| SMA 크로스오버 fast=59, slow=187 |
5.5% | -20.3% | 0.59 | 0.27 | 2.1x | 21 | 73% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
1.1% | -3.6% | 0.49 | 0.30 | 1.2x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=3.4 |
0.9% | -4.3% | 0.40 | 0.21 | 1.1x | 12 | 5% |
| Supertrend period=28, mult=3.8 |
3.1% | -17.4% | 0.38 | 0.18 | 1.5x | 83 | 71% |
| ADX / DI 방향성 period=34, threshold=24 |
-0.0% | -9.2% | -0.00 | -0.00 | 1.0x | 8 | 6% |
| MACD fast=19, slow=35, signal=13 |
-0.6% | -32.3% | -0.04 | -0.02 | 0.9x | 180 | 51% |
| Parabolic SAR step=0.005, maxStep=0.04 |
-5.6% | -63.3% | -0.09 | -0.09 | 0.4x | 100 | 60% |
| Buy and hold | 6.1% | -38.6% | 0.33 | 0.16 | 2.3x | 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 27-day return is greater than -9%
- Sell — Sell when the 27-day return drops to -9% or below