Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI USA Quality Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI USA Quality 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 11.9%, drawdown -34.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -20.4%, Sharpe 0.73, 79% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -40.8%, exposure 95%.
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=17, slow=203 |
8.4% | -20.4% | 0.73 | 0.41 | 2.9x | 13 | 79% |
| Donchian 채널 돌파 entryN=10, exitN=129 |
9.1% | -40.8% | 0.69 | 0.22 | 3.1x | 19 | 95% |
| SMA 크로스오버 fast=28, slow=195 |
7.7% | -29.7% | 0.63 | 0.26 | 2.6x | 13 | 78% |
| Supertrend period=17, mult=5 |
5.1% | -17.6% | 0.55 | 0.29 | 1.9x | 51 | 66% |
| ROC 모멘텀 n=89, threshold=-0.04 |
6.0% | -26.7% | 0.52 | 0.22 | 2.1x | 61 | 85% |
| 볼린저 밴드 돌파 n=24, k=2.9 |
0.3% | -4.6% | 0.29 | 0.07 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=31, threshold=21 |
0.6% | -12.7% | 0.19 | 0.05 | 1.1x | 16 | 9% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.0% | -27.2% | 0.15 | 0.04 | 1.1x | 137 | 66% |
| MACD fast=25, slow=40, signal=23 |
0.6% | -33.7% | 0.11 | 0.02 | 1.1x | 126 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=13, mult=4 |
0.2% | -15.1% | 0.07 | 0.01 | 1.0x | 16 | 8% |
| Buy and hold | 11.9% | -34.1% | 0.75 | 0.35 | 4.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 17-day EMA crosses above the 203-day EMA
- Sell — Sell when the 17-day EMA falls below the 203-day EMA