Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Global Min Vol Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Global Min Vol Factor ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.0%, drawdown -28.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.6%, MDD -21.1%, Sharpe 0.66, 99% 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 99% n=14, threshold=-0.09 |
6.6% | -21.1% | 0.66 | 0.31 | 2.6x | 9 | 99% |
| EMA 크로스오버 fast=58, slow=103 |
2.7% | -23.5% | 0.34 | 0.11 | 1.5x | 21 | 78% |
| SMA 크로스오버 fast=37, slow=184 |
2.7% | -24.0% | 0.34 | 0.11 | 1.5x | 21 | 76% |
| Donchian 채널 돌파 entryN=74, exitN=68 |
0.8% | -13.8% | 0.15 | 0.06 | 1.1x | 31 | 62% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
0.1% | -1.9% | 0.14 | 0.04 | 1.0x | 2 | 1% |
| Supertrend period=26, mult=4.7 |
0.6% | -28.8% | 0.11 | 0.02 | 1.1x | 67 | 72% |
| ADX / DI 방향성 period=26, threshold=23 |
-0.1% | -12.2% | -0.02 | -0.01 | 1.0x | 16 | 8% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=15, mult=3.7 |
-0.3% | -14.6% | -0.11 | -0.02 | 1.0x | 18 | 8% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.2% | -22.1% | -0.12 | -0.05 | 0.8x | 141 | 64% |
| MACD fast=14, slow=53, signal=17 |
-3.9% | -47.0% | -0.54 | -0.08 | 0.6x | 201 | 52% |
| Buy and hold | 6.0% | -28.8% | 0.55 | 0.21 | 2.4x | 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 14-day return is greater than -9%
- Sell — Sell when the 14-day return drops to -9% or below