Trend-Following Backtester · Guide · backtest 한국어
etf · NL
iShares MSCI Global Semiconductors UCITS ETF AccumUSD backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Global Semiconductors UCITS ETF AccumUSD. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 33.0%, MDD -28.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 29.3%, drawdown -45.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 33.0%, MDD -28.7%, Sharpe 1.26, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 33.0%, MDD -28.7%, exposure 57%).
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=41, slow=187 |
33.0% | -28.7% | 1.26 | 1.15 | 4.2x | 3 | 57% |
| EMA 크로스오버 fast=22, slow=214 |
31.0% | -28.7% | 1.15 | 1.08 | 3.9x | 3 | 66% |
| ROC 모멘텀 n=174, threshold=0.07 |
27.7% | -28.7% | 1.11 | 0.97 | 3.5x | 19 | 56% |
| ADX / DI 방향성 period=15, threshold=18 |
22.4% | -12.8% | 1.11 | 1.74 | 2.8x | 52 | 41% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=18, mult=3.3 |
20.7% | -17.3% | 1.10 | 1.19 | 2.6x | 20 | 33% |
| Donchian 채널 돌파 entryN=78, exitN=80 |
25.7% | -28.7% | 1.00 | 0.90 | 3.2x | 5 | 62% |
| Supertrend period=26, mult=5 |
24.2% | -30.9% | 1.00 | 0.78 | 3.0x | 22 | 61% |
| 볼린저 밴드 돌파 n=27, k=1.8 |
17.7% | -24.0% | 0.89 | 0.74 | 2.3x | 38 | 39% |
| MACD fast=21, slow=59, signal=24 |
18.6% | -33.4% | 0.87 | 0.56 | 2.4x | 46 | 47% |
| Parabolic SAR step=0.04, maxStep=0.06 |
18.5% | -31.1% | 0.84 | 0.60 | 2.4x | 78 | 58% |
| Buy and hold | 29.3% | -45.3% | 0.93 | 0.65 | 3.7x | 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 41-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 41-day average falls below the 187-day average