Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Global Select Metals & Mining Producers Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Global Select Metals & Mining Producers Fund. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.7%, MDD -21.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.9%, drawdown -74.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.7%, MDD -21.3%, Sharpe 0.46, 16% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.8%, MDD -43.8%, exposure 51%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 4.7%, MDD -21.3%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=122, threshold=0.23 |
4.7% | -21.3% | 0.46 | 0.22 | 1.9x | 60 | 16% |
| SMA 크로스오버 fast=21, slow=111 |
5.8% | -43.8% | 0.40 | 0.13 | 2.3x | 34 | 51% |
| 볼린저 밴드 돌파 n=62, k=1.3 |
4.8% | -26.3% | 0.37 | 0.18 | 2.0x | 60 | 41% |
| EMA 크로스오버 fast=31, slow=40 |
4.2% | -45.6% | 0.32 | 0.09 | 1.8x | 48 | 51% |
| Donchian 채널 돌파 entryN=42, exitN=59 |
3.5% | -53.5% | 0.27 | 0.07 | 1.7x | 36 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=2.8 |
2.6% | -36.9% | 0.25 | 0.07 | 1.5x | 54 | 34% |
| ADX / DI 방향성 period=17, threshold=33 |
0.2% | -13.1% | 0.07 | 0.02 | 1.0x | 16 | 4% |
| Supertrend period=8, mult=3.7 |
-0.6% | -46.9% | 0.05 | -0.01 | 0.9x | 100 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.6% | -48.1% | 0.01 | -0.03 | 0.8x | 127 | 51% |
| MACD fast=13, slow=27, signal=14 |
-3.1% | -58.0% | -0.07 | -0.05 | 0.6x | 225 | 50% |
| Buy and hold | 0.9% | -74.0% | 0.17 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 122-day return is greater than 23%
- Sell — Sell when the 122-day return drops to 23% or below