Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares China Large-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of iShares China Large-Cap ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.0%, MDD -47.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.3%, drawdown -73.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.3%, MDD -51.6%, Sharpe 0.36, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 5.0%, MDD -47.6%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=66 |
5.3% | -51.6% | 0.36 | 0.10 | 3.1x | 48 | 54% |
| Supertrend period=27, mult=5 |
5.0% | -47.6% | 0.35 | 0.10 | 2.9x | 83 | 51% |
| SMA 크로스오버 fast=19, slow=152 |
5.2% | -52.3% | 0.35 | 0.10 | 3.0x | 42 | 54% |
| 볼린저 밴드 돌파 n=52, k=1.7 |
3.0% | -43.5% | 0.26 | 0.07 | 1.9x | 94 | 35% |
| Donchian 채널 돌파 entryN=86, exitN=81 |
2.7% | -62.1% | 0.23 | 0.04 | 1.8x | 34 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=2.6 |
2.1% | -46.1% | 0.21 | 0.05 | 1.6x | 93 | 34% |
| ROC 모멘텀 n=103, threshold=-0.04 |
1.9% | -69.9% | 0.19 | 0.03 | 1.5x | 171 | 64% |
| MACD fast=20, slow=42, signal=24 |
0.3% | -77.1% | 0.12 | 0.00 | 1.1x | 207 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.1% | -78.2% | 0.05 | -0.01 | 0.8x | 185 | 53% |
| ADX / DI 방향성 period=23, threshold=30 |
-0.5% | -16.2% | -0.07 | -0.03 | 0.9x | 10 | 1% |
| Buy and hold | 3.3% | -73.3% | 0.26 | 0.05 | 2.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 66-day EMA
- Sell — Sell when the 55-day EMA falls below the 66-day EMA