Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Taiwan ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Taiwan ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.5%, MDD -36.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.5%, drawdown -67.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -36.9%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 4.5%, MDD -36.9%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=67 |
4.5% | -36.9% | 0.33 | 0.12 | 3.2x | 111 | 56% |
| Supertrend period=8, mult=5 |
3.7% | -43.0% | 0.29 | 0.09 | 2.6x | 102 | 51% |
| ROC 모멘텀 n=58, threshold=-0.08 |
3.9% | -55.1% | 0.29 | 0.07 | 2.7x | 201 | 81% |
| Donchian 채널 돌파 entryN=74, exitN=83 |
3.5% | -44.9% | 0.28 | 0.08 | 2.5x | 43 | 60% |
| EMA 크로스오버 fast=18, slow=160 |
3.5% | -44.0% | 0.28 | 0.08 | 2.5x | 61 | 62% |
| MACD fast=28, slow=58, signal=51 |
2.6% | -42.4% | 0.23 | 0.06 | 1.9x | 154 | 50% |
| ADX / DI 방향성 period=25, threshold=13 |
2.2% | -47.1% | 0.22 | 0.05 | 1.8x | 232 | 36% |
| 볼린저 밴드 돌파 n=41, k=1.9 |
1.2% | -45.6% | 0.15 | 0.03 | 1.4x | 132 | 35% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=25, mult=2.6 |
0.7% | -48.9% | 0.12 | 0.01 | 1.2x | 108 | 43% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.1% | -71.8% | -0.08 | -0.04 | 0.4x | 220 | 54% |
| Buy and hold | 3.5% | -67.0% | 0.27 | 0.05 | 2.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 44-day average price crosses above the 67-day average
- Sell — Sell (to cash) when the 44-day average falls below the 67-day average