Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Singapore ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Singapore ETF. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.4%, MDD -17.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.8%, drawdown -75.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.6%, MDD -47.7%, Sharpe 0.37, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 1.4%, MDD -17.8%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=102 |
4.6% | -47.7% | 0.37 | 0.10 | 3.9x | 43 | 57% |
| SMA 크로스오버 fast=20, slow=201 |
4.5% | -51.9% | 0.36 | 0.09 | 3.8x | 51 | 57% |
| Supertrend period=37, mult=4.1 |
3.5% | -51.7% | 0.29 | 0.07 | 2.9x | 149 | 57% |
| Donchian 채널 돌파 entryN=42, exitN=46 |
2.8% | -59.6% | 0.26 | 0.05 | 2.3x | 85 | 54% |
| 볼린저 밴드 돌파 n=76, k=3.2 |
1.4% | -17.8% | 0.25 | 0.08 | 1.5x | 13 | 8% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=2.3 |
1.9% | -53.3% | 0.21 | 0.03 | 1.7x | 147 | 37% |
| ROC 모멘텀 n=145, threshold=-0.04 |
1.9% | -60.4% | 0.20 | 0.03 | 1.8x | 189 | 64% |
| ADX / DI 방향성 period=35, threshold=12 |
0.1% | -47.3% | 0.07 | 0.00 | 1.0x | 193 | 28% |
| MACD fast=16, slow=47, signal=17 |
-2.3% | -60.6% | -0.05 | -0.04 | 0.5x | 365 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.8% | -63.1% | -0.08 | -0.04 | 0.4x | 255 | 54% |
| Buy and hold | 0.8% | -75.8% | 0.17 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 102-day EMA
- Sell — Sell when the 56-day EMA falls below the 102-day EMA