Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI EAFE Growth ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI EAFE Growth ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.2%, drawdown -59.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -2.2%, Sharpe 0.33, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.0%, MDD -21.9%, exposure 66%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.3 |
0.2% | -2.2% | 0.33 | 0.09 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=21, slow=65 |
3.0% | -21.9% | 0.30 | 0.14 | 1.9x | 71 | 66% |
| Supertrend period=18, mult=4.4 |
2.1% | -31.1% | 0.23 | 0.07 | 1.5x | 105 | 64% |
| Donchian 채널 돌파 entryN=29, exitN=71 |
2.0% | -31.0% | 0.21 | 0.07 | 1.5x | 51 | 74% |
| Parabolic SAR step=0.005, maxStep=0.02 |
1.9% | -30.3% | 0.21 | 0.06 | 1.5x | 102 | 67% |
| SMA 크로스오버 fast=20, slow=146 |
1.8% | -27.3% | 0.21 | 0.07 | 1.5x | 51 | 64% |
| ROC 모멘텀 n=45, threshold=-0.09 |
2.0% | -43.9% | 0.20 | 0.05 | 1.5x | 107 | 91% |
| ADX / DI 방향성 period=35, threshold=27 |
0.1% | -4.3% | 0.14 | 0.03 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=4 |
0.0% | -2.8% | 0.06 | 0.01 | 1.0x | 2 | 0% |
| MACD fast=22, slow=43, signal=30 |
-2.3% | -50.4% | -0.12 | -0.05 | 0.6x | 184 | 51% |
| Buy and hold | 4.2% | -59.7% | 0.30 | 0.07 | 2.4x | 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 14-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 14-day middle average