Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares MSCI World Quality Dividend ESG UCITS ETF Unhedged USD backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI World Quality Dividend ESG UCITS ETF Unhedged USD. 4 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 5.7%, MDD -12.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.0%, drawdown -33.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.0%, MDD -16.3%, Sharpe 0.61, 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 3.0%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 5.7%, MDD -12.6%, exposure 91%).
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=12, threshold=-0.07 |
7.0% | -16.3% | 0.61 | 0.43 | 1.9x | 11 | 98% |
| EMA 크로스오버 fast=19, slow=382 |
5.1% | -16.2% | 0.56 | 0.32 | 1.6x | 5 | 72% |
| Donchian 채널 돌파 entryN=16, exitN=78 |
5.7% | -12.6% | 0.55 | 0.45 | 1.7x | 15 | 91% |
| SMA 크로스오버 fast=21, slow=174 |
4.1% | -19.7% | 0.47 | 0.21 | 1.5x | 19 | 71% |
| 볼린저 밴드 돌파 n=50, k=3.2 |
0.5% | -5.7% | 0.23 | 0.09 | 1.0x | 2 | 5% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=3.8 |
0.2% | -9.0% | 0.07 | 0.02 | 1.0x | 20 | 17% |
| ADX / DI 방향성 period=39, threshold=12 |
0.0% | -13.3% | 0.04 | 0.00 | 1.0x | 33 | 19% |
| Supertrend period=30, mult=5 |
-2.0% | -38.1% | -0.14 | -0.05 | 0.8x | 53 | 74% |
| MACD fast=19, slow=34, signal=18 |
-3.6% | -37.1% | -0.40 | -0.10 | 0.7x | 118 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-8.1% | -60.6% | -0.56 | -0.13 | 0.5x | 80 | 59% |
| Buy and hold | 4.0% | -33.2% | 0.30 | 0.12 | 1.4x | 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 12-day return is greater than -7%
- Sell — Sell when the 12-day return drops to -7% or below