Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Hong Kong Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Hong Kong Index Fund. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -34.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.9%, drawdown -69.3%).
Sharpe leader (same as main): Supertrend — CAGR 3.0%, MDD -38.2%, Sharpe 0.26, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 2.2%, MDD -34.1%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=4.4 |
3.0% | -38.2% | 0.26 | 0.08 | 2.4x | 143 | 56% |
| 볼린저 밴드 돌파 n=60, k=1.5 |
2.2% | -34.1% | 0.23 | 0.06 | 1.9x | 128 | 38% |
| SMA 크로스오버 fast=17, slow=144 |
2.4% | -41.8% | 0.23 | 0.06 | 2.0x | 74 | 55% |
| EMA 크로스오버 fast=43, slow=70 |
2.0% | -43.0% | 0.21 | 0.05 | 1.8x | 72 | 56% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=2.9 |
1.5% | -35.3% | 0.19 | 0.04 | 1.6x | 115 | 32% |
| Donchian 채널 돌파 entryN=59, exitN=18 |
1.1% | -36.8% | 0.15 | 0.03 | 1.4x | 116 | 35% |
| ROC 모멘텀 n=148, threshold=-0.05 |
0.7% | -58.4% | 0.13 | 0.01 | 1.2x | 201 | 67% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-1.6% | -79.2% | -0.00 | -0.02 | 0.6x | 381 | 54% |
| ADX / DI 방향성 period=21, threshold=16 |
-0.9% | -51.9% | -0.02 | -0.02 | 0.8x | 249 | 27% |
| MACD fast=18, slow=32, signal=18 |
-2.9% | -76.0% | -0.08 | -0.04 | 0.4x | 371 | 50% |
| Buy and hold | 1.9% | -69.3% | 0.20 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)