Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI USA Momentum Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI USA Momentum Factor ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -34.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -22.3%, Sharpe 0.70, 76% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=16, slow=115 |
10.0% | -22.3% | 0.70 | 0.45 | 3.5x | 27 | 76% |
| SMA 크로스오버 fast=11, slow=167 |
9.6% | -21.9% | 0.67 | 0.44 | 3.4x | 25 | 76% |
| Donchian 채널 돌파 entryN=22, exitN=71 |
9.3% | -34.6% | 0.64 | 0.27 | 3.3x | 29 | 85% |
| ROC 모멘텀 n=127, threshold=-0.01 |
8.4% | -28.5% | 0.59 | 0.30 | 2.9x | 57 | 80% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
4.4% | -17.8% | 0.56 | 0.25 | 1.8x | 30 | 27% |
| Supertrend period=28, mult=4.9 |
5.6% | -23.2% | 0.48 | 0.24 | 2.1x | 54 | 70% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=3 |
2.7% | -23.5% | 0.35 | 0.11 | 1.4x | 52 | 32% |
| ADX / DI 방향성 period=22, threshold=28 |
0.8% | -14.4% | 0.21 | 0.05 | 1.1x | 16 | 8% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.6% | -39.2% | 0.19 | 0.04 | 1.2x | 136 | 63% |
| MACD fast=13, slow=41, signal=19 |
-0.6% | -42.5% | 0.00 | -0.01 | 0.9x | 176 | 52% |
| Buy and hold | 14.2% | -34.1% | 0.76 | 0.42 | 5.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 16-day EMA crosses above the 115-day EMA
- Sell — Sell when the 16-day EMA falls below the 115-day EMA