Trend-Following Backtester · Guide · backtest 한국어

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iShares MSCI Australia Index Fund backtest

10 trend-following strategies were compared on the full daily history of iShares MSCI Australia Index Fund. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1996-03-18 ~ 2026-07-31daily bars 7,642 (30.4 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 3.6%, drawdown -69.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.0%, MDD -49.5%, Sharpe 0.20, 78% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=24, exitN=86
2.0%-49.5%0.200.041.8x7578%
SMA 크로스오버
fast=33, slow=181
1.5%-46.6%0.170.031.6x5160%
ROC 모멘텀
n=79, threshold=-0.15
1.4%-57.7%0.170.021.5x10793%
EMA 크로스오버
fast=23, slow=146
1.2%-51.4%0.160.021.5x7763%
볼린저 밴드 돌파
n=68, k=2.6
0.4%-22.3%0.090.021.1x4014%
ADX / DI 방향성
period=28, threshold=29
0.2%-10.2%0.090.021.1x61%
Keltner 채널 돌파
emaPeriod=12, atrPeriod=25, mult=3
0.2%-12.8%0.080.011.1x142%
Supertrend
period=32, mult=4.8
-0.9%-66.8%0.02-0.010.8x13159%
Parabolic SAR
step=0.01, maxStep=0.28
-5.7%-89.9%-0.27-0.060.2x41156%
MACD
fast=12, slow=34, signal=13
-6.2%-87.6%-0.30-0.070.1x50350%
Buy and hold3.6%-69.7%0.270.052.9x1100%
1x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -35% -52% -70% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -49.5% (1997-07-03 → 2003-04-02), recovered after 3,198 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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