Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Sweden ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Sweden ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.5%, MDD -46.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.4%, drawdown -79.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -47.4%, Sharpe 0.46, 76% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 5.5%, MDD -46.5%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=52, exitN=136 |
7.9% | -47.4% | 0.46 | 0.17 | 9.9x | 31 | 76% |
| 볼린저 밴드 돌파 n=62, k=3 |
2.9% | -25.0% | 0.42 | 0.12 | 2.4x | 18 | 11% |
| EMA 크로스오버 fast=37, slow=191 |
5.8% | -46.6% | 0.40 | 0.12 | 5.5x | 37 | 62% |
| SMA 크로스오버 fast=64, slow=116 |
5.5% | -46.5% | 0.38 | 0.12 | 5.0x | 56 | 59% |
| ROC 모멘텀 n=127, threshold=-0.03 |
3.1% | -66.1% | 0.25 | 0.05 | 2.5x | 199 | 68% |
| Supertrend period=36, mult=5 |
2.0% | -55.2% | 0.20 | 0.04 | 1.8x | 140 | 60% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=2.3 |
0.4% | -54.6% | 0.10 | 0.01 | 1.1x | 178 | 45% |
| MACD fast=40, slow=74, signal=41 |
-0.1% | -57.6% | 0.09 | -0.00 | 1.0x | 176 | 50% |
| ADX / DI 방향성 period=31, threshold=17 |
-0.3% | -42.5% | 0.00 | -0.01 | 0.9x | 84 | 14% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.5% | -79.6% | -0.03 | -0.03 | 0.5x | 263 | 56% |
| Buy and hold | 4.4% | -79.9% | 0.30 | 0.06 | 3.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 52 days
- Sell — Sell when price breaks below the lowest low of the last 136 days