Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core MSCI EAFE ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI EAFE ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.2%, MDD -22.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -38.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -23.4%, Sharpe 0.42, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.1%, MDD -34.8%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 15.4%p (CAGR 4.2%, MDD -22.2%, exposure 66%).
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=52, slow=107 |
4.3% | -23.4% | 0.42 | 0.18 | 1.8x | 25 | 61% |
| EMA 크로스오버 fast=54, slow=91 |
4.2% | -22.2% | 0.41 | 0.19 | 1.8x | 23 | 66% |
| ROC 모멘텀 Hold-like · Exposure 98% n=39, threshold=-0.15 |
5.1% | -34.8% | 0.40 | 0.15 | 2.0x | 9 | 98% |
| Donchian 채널 돌파 entryN=45, exitN=104 |
3.5% | -20.1% | 0.34 | 0.17 | 1.6x | 21 | 75% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.2% | -1.9% | 0.29 | 0.12 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=3.2 |
0.4% | -2.9% | 0.25 | 0.15 | 1.1x | 8 | 2% |
| Supertrend period=22, mult=5 |
1.4% | -31.6% | 0.18 | 0.04 | 1.2x | 57 | 64% |
| ADX / DI 방향성 period=39, threshold=23 |
0.1% | -3.6% | 0.09 | 0.03 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.1% | -48.3% | -0.25 | -0.06 | 0.7x | 135 | 59% |
| MACD fast=19, slow=25, signal=14 |
-5.9% | -62.8% | -0.57 | -0.09 | 0.4x | 212 | 49% |
| Buy and hold | 5.5% | -38.9% | 0.40 | 0.14 | 2.1x | 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 52-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 52-day average falls below the 107-day average