Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Poland ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Poland ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.0%, MDD -26.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.4%, drawdown -73.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -42.4%, Sharpe 0.35, 51% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.5%, MDD -43.0%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 4.0%, MDD -26.4%, exposure 40%).
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=22, slow=192 |
4.5% | -42.4% | 0.35 | 0.11 | 2.0x | 25 | 51% |
| ROC 모멘텀 n=138, threshold=0.01 |
4.5% | -43.0% | 0.34 | 0.11 | 2.0x | 109 | 50% |
| Donchian 채널 돌파 entryN=109, exitN=62 |
4.0% | -26.4% | 0.34 | 0.15 | 1.9x | 21 | 40% |
| EMA 크로스오버 fast=31, slow=182 |
4.0% | -41.7% | 0.32 | 0.10 | 1.9x | 27 | 48% |
| ADX / DI 방향성 period=33, threshold=13 |
3.0% | -27.2% | 0.30 | 0.11 | 1.6x | 82 | 26% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=8, mult=2.5 |
1.4% | -29.9% | 0.17 | 0.05 | 1.2x | 85 | 34% |
| Supertrend period=16, mult=3.7 |
1.4% | -48.9% | 0.17 | 0.03 | 1.2x | 115 | 54% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
0.6% | -12.0% | 0.16 | 0.05 | 1.1x | 8 | 3% |
| MACD fast=15, slow=25, signal=9 |
-1.0% | -65.1% | 0.04 | -0.01 | 0.9x | 279 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.0% | -77.6% | -0.13 | -0.05 | 0.5x | 147 | 53% |
| Buy and hold | 3.4% | -73.0% | 0.26 | 0.05 | 1.7x | 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 22-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 22-day average falls below the 192-day average