Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Brazil ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Brazil ETF. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.2%, MDD -43.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.6%, drawdown -82.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -59.6%, Sharpe 0.41, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 3.2%, MDD -43.1%, exposure 37%).
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=19, slow=152 |
6.9% | -59.6% | 0.41 | 0.12 | 5.7x | 56 | 55% |
| EMA 크로스오버 fast=46, slow=242 |
6.6% | -57.8% | 0.39 | 0.11 | 5.3x | 23 | 55% |
| Supertrend period=24, mult=4.3 |
6.2% | -50.4% | 0.38 | 0.12 | 4.8x | 112 | 50% |
| 볼린저 밴드 돌파 n=47, k=0.6 |
6.0% | -47.1% | 0.38 | 0.13 | 4.6x | 207 | 46% |
| MACD fast=31, slow=50, signal=23 |
6.4% | -55.7% | 0.38 | 0.11 | 5.0x | 185 | 50% |
| Donchian 채널 돌파 entryN=19, exitN=16 |
5.7% | -62.3% | 0.36 | 0.09 | 4.3x | 169 | 48% |
| ROC 모멘텀 n=146, threshold=0.02 |
5.0% | -62.3% | 0.33 | 0.08 | 3.6x | 179 | 52% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=17, mult=1.9 |
3.2% | -43.1% | 0.26 | 0.07 | 2.3x | 176 | 37% |
| ADX / DI 방향성 period=48, threshold=22 |
0.7% | -16.2% | 0.20 | 0.04 | 1.2x | 4 | 1% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-2.9% | -87.9% | 0.00 | -0.03 | 0.5x | 441 | 54% |
| Buy and hold | 2.6% | -82.8% | 0.26 | 0.03 | 1.9x | 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 19-day average price crosses above the 152-day average
- Sell — Sell (to cash) when the 19-day average falls below the 152-day average