Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI EAFE ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI EAFE ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.4%, MDD -23.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.7%, drawdown -63.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -23.0%, Sharpe 0.49, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 5.4%, MDD -23.0%, exposure 65%).
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=18, slow=199 |
5.4% | -23.0% | 0.49 | 0.24 | 3.7x | 43 | 65% |
| EMA 크로스오버 fast=38, slow=162 |
5.3% | -23.8% | 0.48 | 0.22 | 3.6x | 35 | 66% |
| ADX / DI 방향성 period=36, threshold=26 |
0.6% | -6.0% | 0.29 | 0.10 | 1.2x | 4 | 3% |
| Supertrend period=26, mult=4.8 |
2.7% | -32.5% | 0.28 | 0.08 | 1.9x | 99 | 64% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=17, mult=4 |
2.0% | -23.5% | 0.27 | 0.08 | 1.6x | 62 | 35% |
| ROC 모멘텀 n=113, threshold=-0.01 |
2.6% | -43.4% | 0.27 | 0.06 | 1.9x | 197 | 66% |
| 볼린저 밴드 돌파 n=13, k=3 |
0.1% | -1.8% | 0.21 | 0.07 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=48, exitN=46 |
1.8% | -25.7% | 0.21 | 0.07 | 1.6x | 69 | 59% |
| MACD fast=20, slow=68, signal=24 |
-1.5% | -58.5% | -0.05 | -0.03 | 0.7x | 212 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.9% | -59.9% | -0.09 | -0.03 | 0.6x | 231 | 60% |
| Buy and hold | 3.7% | -63.2% | 0.28 | 0.06 | 2.5x | 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 18-day average price crosses above the 199-day average
- Sell — Sell (to cash) when the 18-day average falls below the 199-day average