Trend-Following Backtester · Guide · backtest 한국어

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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 11.6%, MDD -39.5%).

Data 2000-05-12 ~ 2026-07-31daily bars 6,593 (26.2 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 8.2%, drawdown -74.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -39.5%, Sharpe 0.63, 53% 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 11.6%, MDD -39.5%, exposure 53%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=89, exitN=76
11.6%-39.5%0.630.2917.7x3353%
SMA 크로스오버
fast=34, slow=99
9.9%-43.4%0.540.2312.0x6160%
EMA 크로스오버
fast=21, slow=106
9.5%-49.3%0.530.1910.8x5759%
Supertrend
period=37, mult=5
7.6%-44.4%0.470.176.9x10855%
ROC 모멘텀
n=97, threshold=0.05
7.1%-59.6%0.440.126.1x22745%
ADX / DI 방향성
period=51, threshold=10
5.5%-40.0%0.400.144.0x11430%
볼린저 밴드 돌파
n=47, k=1.4
3.7%-51.2%0.290.072.6x16442%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=25, mult=2.2
2.7%-49.0%0.240.062.0x16839%
Parabolic SAR
step=0.02, maxStep=0.02
2.1%-59.8%0.210.041.7x15458%
MACD
fast=21, slow=26, signal=22
-1.4%-75.6%0.04-0.020.7x30052%
Buy and hold8.2%-74.6%0.400.117.9x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -37% -56% -75% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -39.5% (2011-05-02 → 2016-05-18), recovered after 3,535 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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