Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares ESG MSCI KLD 400 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares ESG MSCI KLD 400 ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -18.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -55.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -18.3%, Sharpe 0.73, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 36.8%p (CAGR 8.1%, MDD -18.3%, exposure 72%).
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=9, slow=175 |
8.1% | -18.3% | 0.73 | 0.44 | 4.7x | 45 | 72% |
| EMA 크로스오버 fast=24, slow=64 |
7.3% | -25.3% | 0.65 | 0.29 | 4.0x | 45 | 73% |
| Donchian 채널 돌파 entryN=80, exitN=63 |
6.5% | -16.8% | 0.64 | 0.39 | 3.5x | 33 | 66% |
| ROC 모멘텀 n=187, threshold=-0.03 |
6.6% | -29.4% | 0.56 | 0.23 | 3.6x | 75 | 79% |
| Supertrend period=15, mult=4.7 |
5.0% | -23.4% | 0.51 | 0.21 | 2.6x | 89 | 62% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=17, mult=4 |
1.6% | -23.1% | 0.23 | 0.07 | 1.4x | 69 | 46% |
| 볼린저 밴드 돌파 n=27, k=3.1 |
0.2% | -4.4% | 0.22 | 0.05 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.2% | -42.5% | 0.08 | 0.01 | 1.1x | 198 | 64% |
| ADX / DI 방향성 period=40, threshold=19 |
0.0% | -15.7% | 0.02 | 0.00 | 1.0x | 24 | 6% |
| MACD fast=24, slow=40, signal=31 |
-0.9% | -41.6% | -0.02 | -0.02 | 0.8x | 194 | 52% |
| Buy and hold | 9.2% | -55.1% | 0.55 | 0.17 | 5.8x | 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 9-day average price crosses above the 175-day average
- Sell — Sell (to cash) when the 9-day average falls below the 175-day average