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; 볼린저 밴드 돌파 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): 볼린저 밴드 돌파 — CAGR 1.0%, MDD -10.3%, Sharpe 0.27, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.0%, MDD -47.2%, exposure 56%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.1 |
1.0% | -10.3% | 0.27 | 0.10 | 1.3x | 8 | 2% |
| SMA 크로스오버 fast=51, slow=170 |
3.0% | -47.2% | 0.24 | 0.06 | 2.0x | 44 | 56% |
| MACD fast=42, slow=73, signal=66 |
2.3% | -61.2% | 0.21 | 0.04 | 1.7x | 98 | 51% |
| ADX / DI 방향성 period=15, threshold=33 |
0.8% | -17.5% | 0.19 | 0.05 | 1.2x | 22 | 4% |
| EMA 크로스오버 fast=32, slow=65 |
1.3% | -69.9% | 0.17 | 0.02 | 1.4x | 76 | 56% |
| Donchian 채널 돌파 entryN=40, exitN=72 |
0.8% | -75.3% | 0.15 | 0.01 | 1.2x | 54 | 68% |
| ROC 모멘텀 n=127, threshold=0.23 |
-0.2% | -48.9% | 0.04 | -0.00 | 1.0x | 138 | 17% |
| Supertrend period=25, mult=4.5 |
-1.6% | -80.3% | 0.02 | -0.02 | 0.7x | 122 | 57% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=4 |
-1.7% | -61.3% | -0.13 | -0.03 | 0.7x | 56 | 15% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-9.9% | -95.3% | -0.36 | -0.10 | 0.1x | 402 | 55% |
| Buy and hold | 5.1% | -68.2% | 0.32 | 0.08 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 23-day middle average