Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI EAFE Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI EAFE Value ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.6%, MDD -24.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.2%, drawdown -66.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -24.3%, Sharpe 0.35, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 3.6%, MDD -24.3%, exposure 58%).
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=21, slow=208 |
3.6% | -24.3% | 0.35 | 0.15 | 2.1x | 33 | 58% |
| EMA 크로스오버 fast=25, slow=214 |
3.2% | -28.2% | 0.32 | 0.11 | 1.9x | 31 | 58% |
| Donchian 채널 돌파 entryN=46, exitN=60 |
2.7% | -31.2% | 0.26 | 0.09 | 1.7x | 45 | 64% |
| Supertrend period=27, mult=4.8 |
2.1% | -35.9% | 0.22 | 0.06 | 1.5x | 85 | 62% |
| 볼린저 밴드 돌파 n=33, k=3.2 |
0.3% | -4.6% | 0.19 | 0.08 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=144, threshold=-0.04 |
1.2% | -49.7% | 0.16 | 0.02 | 1.3x | 97 | 68% |
| ADX / DI 방향성 period=36, threshold=11 |
-0.2% | -46.4% | 0.02 | -0.01 | 1.0x | 148 | 31% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=1.6 |
-0.9% | -54.4% | -0.03 | -0.02 | 0.8x | 147 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.3% | -53.2% | -0.03 | -0.02 | 0.8x | 189 | 58% |
| MACD fast=23, slow=53, signal=19 |
-4.4% | -73.6% | -0.25 | -0.06 | 0.4x | 205 | 50% |
| Buy and hold | 2.2% | -66.7% | 0.21 | 0.03 | 1.6x | 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 21-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 21-day average falls below the 208-day average