Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Peru and Global Exposure ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Peru and Global Exposure ETF. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.9%, MDD -21.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.7%, drawdown -64.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.9%, MDD -21.6%, Sharpe 0.71, 38% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.4%, MDD -28.3%, exposure 66%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 8.9%, MDD -21.6%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=2.3 |
8.9% | -21.6% | 0.71 | 0.41 | 4.3x | 72 | 38% |
| Donchian 채널 돌파 entryN=38, exitN=79 |
11.4% | -28.3% | 0.71 | 0.40 | 6.4x | 29 | 66% |
| 볼린저 밴드 돌파 n=41, k=1.7 |
8.7% | -26.7% | 0.70 | 0.32 | 4.2x | 86 | 37% |
| ADX / DI 방향성 period=20, threshold=34 |
4.6% | -10.2% | 0.62 | 0.45 | 2.2x | 26 | 8% |
| EMA 크로스오버 fast=14, slow=136 |
8.4% | -30.1% | 0.57 | 0.28 | 4.0x | 37 | 57% |
| SMA 크로스오버 fast=36, slow=158 |
8.1% | -37.9% | 0.55 | 0.21 | 3.8x | 25 | 57% |
| Supertrend period=14, mult=4.6 |
7.2% | -42.5% | 0.51 | 0.17 | 3.3x | 73 | 53% |
| ROC 모멘텀 n=81, threshold=-0.01 |
5.4% | -37.6% | 0.41 | 0.14 | 2.5x | 135 | 59% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.8% | -47.8% | 0.37 | 0.10 | 2.3x | 150 | 54% |
| MACD fast=16, slow=35, signal=10 |
3.7% | -44.6% | 0.31 | 0.08 | 1.9x | 236 | 50% |
| Buy and hold | 7.7% | -64.6% | 0.43 | 0.12 | 3.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 52-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 52-day average