Trend-Following Backtester · Guide · backtest 한국어
etf · NL
iShares Core MSCI Pacific ex Japan UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Pacific ex Japan UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.5%, drawdown -36.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -28.8%, Sharpe 0.51, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=22, threshold=-0.11 |
7.1% | -28.8% | 0.51 | 0.25 | 2.9x | 19 | 98% |
| ADX / DI 방향성 period=17, threshold=39 |
0.8% | -3.0% | 0.38 | 0.25 | 1.1x | 4 | 3% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
0.8% | -4.6% | 0.35 | 0.17 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=31, exitN=47 |
3.5% | -26.8% | 0.35 | 0.13 | 1.7x | 45 | 70% |
| SMA 크로스오버 fast=29, slow=198 |
3.1% | -29.1% | 0.32 | 0.11 | 1.6x | 25 | 67% |
| EMA 크로스오버 fast=32, slow=137 |
2.8% | -27.4% | 0.30 | 0.10 | 1.5x | 27 | 68% |
| Supertrend period=27, mult=4.2 |
-0.8% | -34.9% | -0.01 | -0.02 | 0.9x | 126 | 64% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=25, mult=3.8 |
-0.3% | -13.9% | -0.09 | -0.02 | 1.0x | 24 | 6% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-2.4% | -42.3% | -0.16 | -0.06 | 0.7x | 210 | 59% |
| MACD fast=18, slow=23, signal=11 |
-4.1% | -55.0% | -0.32 | -0.07 | 0.5x | 268 | 51% |
| Buy and hold | 6.5% | -36.8% | 0.44 | 0.18 | 2.7x | 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 22-day return is greater than -11%
- Sell — Sell when the 22-day return drops to -11% or below