Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI South Africa Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI South Africa Index Fund. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -68.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.7%, MDD -41.1%, Sharpe 0.28, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=51, slow=158 |
3.7% | -41.1% | 0.28 | 0.09 | 2.4x | 44 | 56% |
| 볼린저 밴드 돌파 n=16, k=3.3 |
0.3% | -4.5% | 0.26 | 0.08 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=13, mult=4 |
0.6% | -9.9% | 0.23 | 0.06 | 1.1x | 10 | 2% |
| ADX / DI 방향성 period=30, threshold=30 |
0.7% | -9.7% | 0.23 | 0.08 | 1.2x | 8 | 2% |
| MACD fast=59, slow=60, signal=54 |
2.1% | -53.3% | 0.20 | 0.04 | 1.6x | 107 | 51% |
| EMA 크로스오버 fast=37, slow=55 |
2.0% | -66.9% | 0.20 | 0.03 | 1.6x | 75 | 56% |
| ROC 모멘텀 n=125, threshold=0.21 |
1.4% | -44.7% | 0.18 | 0.03 | 1.4x | 148 | 18% |
| Donchian 채널 돌파 entryN=40, exitN=66 |
0.4% | -77.8% | 0.13 | 0.01 | 1.1x | 57 | 67% |
| Supertrend period=7, mult=4.7 |
-0.6% | -71.4% | 0.06 | -0.01 | 0.9x | 110 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-9.6% | -95.3% | -0.35 | -0.10 | 0.1x | 404 | 55% |
| Buy and hold | 5.1% | -68.2% | 0.32 | 0.08 | 3.3x | 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 51-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 51-day average falls below the 158-day average