Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Germany Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Germany Index Fund. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.0%, MDD -37.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.9%, drawdown -71.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -37.7%, Sharpe 0.47, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 6.0%, MDD -37.7%, exposure 57%).
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=59, exitN=54 |
6.0% | -37.7% | 0.47 | 0.16 | 5.8x | 61 | 57% |
| 볼린저 밴드 돌파 n=50, k=2.3 |
3.5% | -32.7% | 0.39 | 0.11 | 2.8x | 72 | 26% |
| EMA 크로스오버 fast=40, slow=76 |
4.4% | -41.5% | 0.36 | 0.11 | 3.7x | 68 | 61% |
| SMA 크로스오버 fast=8, slow=152 |
4.0% | -40.9% | 0.34 | 0.10 | 3.3x | 88 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=3.3 |
2.9% | -28.0% | 0.31 | 0.10 | 2.4x | 100 | 34% |
| ROC 모멘텀 n=107, threshold=-0.06 |
3.0% | -64.5% | 0.26 | 0.05 | 2.5x | 209 | 73% |
| ADX / DI 방향성 period=18, threshold=36 |
0.6% | -6.9% | 0.20 | 0.08 | 1.2x | 18 | 3% |
| Supertrend period=28, mult=4.7 |
1.7% | -48.3% | 0.19 | 0.04 | 1.7x | 139 | 59% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.4% | -62.0% | 0.11 | 0.01 | 1.1x | 263 | 55% |
| MACD fast=29, slow=47, signal=17 |
-1.9% | -67.5% | -0.03 | -0.03 | 0.6x | 309 | 51% |
| Buy and hold | 3.9% | -71.8% | 0.28 | 0.05 | 3.2x | 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 59 days
- Sell — Sell when price breaks below the lowest low of the last 54 days