Trend-Following Backtester · Guide · backtest 한국어
etf · JP
MAXIS World Equity (MSCI ACWI) ETF backtest
10 trend-following strategies were compared on the full daily history of MAXIS World Equity (MSCI ACWI) ETF. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.2%, MDD -4.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR -16.9%, drawdown -99.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.2%, MDD -4.1%, Sharpe 0.39, 5% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.0%p higher than buy and hold, while drawdown improves by 94.9%p (CAGR 1.2%, MDD -4.1%, exposure 5%).
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=39, k=3 |
1.2% | -4.1% | 0.39 | 0.28 | 1.1x | 2 | 5% |
| EMA 크로스오버 fast=69, slow=196 |
-18.8% | -99.0% | 0.36 | -0.19 | 0.3x | 4 | 84% |
| SMA 크로스오버 fast=51, slow=199 |
-20.4% | -99.0% | 0.35 | -0.21 | 0.2x | 8 | 76% |
| ADX / DI 방향성 period=37, threshold=19 |
0.9% | -6.5% | 0.29 | 0.13 | 1.1x | 6 | 9% |
| ROC 모멘텀 n=138, threshold=-0.11 |
-16.1% | -90.0% | 0.13 | -0.18 | 0.3x | 2 | 89% |
| Donchian 채널 돌파 entryN=37, exitN=63 |
-19.6% | -90.0% | 0.01 | -0.22 | 0.2x | 14 | 81% |
| Supertrend period=19, mult=2.7 |
-23.2% | -90.0% | -0.12 | -0.26 | 0.2x | 80 | 67% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=1.5 |
-23.7% | -90.0% | -0.14 | -0.26 | 0.2x | 48 | 67% |
| MACD fast=23, slow=64, signal=29 |
-24.1% | -90.2% | -0.16 | -0.27 | 0.2x | 43 | 48% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-26.6% | -90.5% | -0.25 | -0.29 | 0.1x | 114 | 63% |
| Buy and hold | -16.9% | -99.0% | 0.37 | -0.17 | 0.3x | 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 39-day average (3× volatility)
- Sell — Sell when the close falls back to the 39-day middle average