Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Israel ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Israel ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.8%, MDD -33.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -51.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.2%, MDD -45.4%, Sharpe 0.42, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 6.5%p (CAGR 4.8%, MDD -33.7%, exposure 59%).
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=38, slow=131 |
5.2% | -45.4% | 0.42 | 0.12 | 2.6x | 29 | 59% |
| SMA 크로스오버 fast=15, slow=92 |
4.8% | -33.7% | 0.40 | 0.14 | 2.4x | 61 | 59% |
| Donchian 채널 돌파 entryN=75, exitN=42 |
4.1% | -27.6% | 0.38 | 0.15 | 2.1x | 42 | 50% |
| 볼린저 밴드 돌파 n=76, k=1.5 |
3.7% | -37.0% | 0.37 | 0.10 | 2.0x | 66 | 43% |
| Supertrend period=23, mult=4.9 |
4.0% | -35.4% | 0.36 | 0.11 | 2.1x | 72 | 55% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=7, mult=2.2 |
3.0% | -40.5% | 0.30 | 0.07 | 1.7x | 90 | 48% |
| ROC 모멘텀 n=133, threshold=0.02 |
2.5% | -50.2% | 0.25 | 0.05 | 1.6x | 126 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.5% | -41.4% | 0.11 | 0.01 | 1.1x | 162 | 57% |
| MACD fast=19, slow=51, signal=15 |
-1.0% | -46.5% | -0.00 | -0.02 | 0.8x | 208 | 52% |
| ADX / DI 방향성 period=39, threshold=39 |
-0.0% | -3.3% | -0.02 | -0.01 | 1.0x | 2 | 0% |
| Buy and hold | 4.9% | -51.9% | 0.32 | 0.09 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 131-day EMA
- Sell — Sell when the 38-day EMA falls below the 131-day EMA