Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI South Korea ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI South Korea ETF. 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 12.1%, MDD -39.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.8%, drawdown -74.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -39.5%, Sharpe 0.65, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 12.1%, MDD -39.5%, exposure 54%).
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=89, exitN=76 |
12.1% | -39.5% | 0.65 | 0.31 | 20.4x | 33 | 54% |
| SMA 크로스오버 fast=34, slow=99 |
10.6% | -43.4% | 0.56 | 0.24 | 14.1x | 62 | 60% |
| EMA 크로스오버 fast=21, slow=106 |
10.1% | -49.3% | 0.55 | 0.20 | 12.5x | 57 | 59% |
| ROC 모멘텀 n=97, threshold=0.05 |
7.7% | -59.6% | 0.47 | 0.13 | 7.0x | 227 | 45% |
| Supertrend period=37, mult=5 |
7.6% | -44.4% | 0.47 | 0.17 | 6.9x | 108 | 55% |
| ADX / DI 방향성 period=51, threshold=10 |
5.5% | -40.0% | 0.40 | 0.14 | 4.0x | 114 | 30% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
3.7% | -51.2% | 0.29 | 0.07 | 2.6x | 164 | 41% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=25, mult=2.2 |
2.7% | -49.0% | 0.24 | 0.06 | 2.0x | 168 | 39% |
| Parabolic SAR step=0.02, maxStep=0.02 |
2.1% | -59.8% | 0.21 | 0.04 | 1.7x | 154 | 57% |
| MACD fast=21, slow=26, signal=22 |
-1.3% | -75.6% | 0.05 | -0.02 | 0.7x | 301 | 52% |
| Buy and hold | 8.8% | -74.6% | 0.42 | 0.12 | 9.1x | 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 89 days
- Sell — Sell when price breaks below the lowest low of the last 76 days