Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Core MSCI Europe UCITS ETF EUR (Acc) backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Europe UCITS ETF EUR (Acc). 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 3.2%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 66.7%, MDD -99.5%, Sharpe 0.77, 58% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=26 |
66.7% | -99.5% | 0.77 | 0.67 | 5494.4x | 252 | 58% |
| Donchian 채널 돌파 entryN=21, exitN=76 |
37.6% | -99.3% | 0.73 | 0.38 | 216.8x | 39 | 84% |
| ROC 모멘텀 n=25, threshold=-0.05 |
33.0% | -99.3% | 0.73 | 0.33 | 122.1x | 151 | 91% |
| MACD fast=19, slow=43, signal=19 |
-3.2% | -100.0% | 0.73 | -0.03 | 0.6x | 176 | 51% |
| Supertrend period=8, mult=4.1 |
-4.5% | -100.0% | 0.73 | -0.05 | 0.5x | 165 | 53% |
| EMA 크로스오버 fast=34, slow=44 |
-27.6% | -100.0% | 0.64 | -0.28 | 0.0x | 65 | 65% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-61.5% | -100.0% | 0.54 | -0.61 | 0.0x | 325 | 53% |
| 볼린저 밴드 돌파 n=16, k=1.6 |
-5.5% | -100.0% | 0.49 | -0.06 | 0.4x | 237 | 38% |
| ADX / DI 방향성 period=5, threshold=37 |
-34.2% | -100.0% | 0.48 | -0.34 | 0.0x | 325 | 21% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=5, mult=0.8 |
-50.3% | -100.0% | 0.48 | -0.50 | 0.0x | 481 | 41% |
| Buy and hold | 3.2% | -99.6% | 0.77 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 21-day average price crosses above the 26-day average
- Sell — Sell (to cash) when the 21-day average falls below the 26-day average