Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI India ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI India ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.3%, MDD -23.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.3%, drawdown -46.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.6%, MDD -27.3%, Sharpe 0.41, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 4.3%, MDD -23.5%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=66, exitN=61 |
4.6% | -27.3% | 0.41 | 0.17 | 1.9x | 27 | 59% |
| 볼린저 밴드 돌파 n=17, k=3.1 |
0.9% | -5.0% | 0.40 | 0.18 | 1.1x | 4 | 2% |
| EMA 크로스오버 fast=29, slow=56 |
4.3% | -23.5% | 0.39 | 0.18 | 1.8x | 47 | 59% |
| SMA 크로스오버 fast=59, slow=95 |
4.0% | -35.7% | 0.36 | 0.11 | 1.8x | 33 | 59% |
| ROC 모멘텀 n=160, threshold=0.12 |
1.7% | -28.8% | 0.24 | 0.06 | 1.3x | 64 | 27% |
| ADX / DI 방향성 period=25, threshold=32 |
0.1% | -2.7% | 0.11 | 0.05 | 1.0x | 2 | 1% |
| Supertrend period=26, mult=4.7 |
0.1% | -36.0% | 0.07 | 0.00 | 1.0x | 79 | 59% |
| MACD fast=19, slow=39, signal=15 |
-1.0% | -31.1% | -0.01 | -0.03 | 0.9x | 178 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=4 |
-0.9% | -35.4% | -0.05 | -0.02 | 0.9x | 52 | 31% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-5.6% | -61.0% | -0.35 | -0.09 | 0.4x | 258 | 55% |
| Buy and hold | 4.3% | -46.1% | 0.30 | 0.09 | 1.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 66 days
- Sell — Sell when price breaks below the lowest low of the last 61 days