Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core MSCI Emerging Markets ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Emerging Markets ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.7%, MDD -23.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.5%, drawdown -42.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.7%, MDD -23.8%, Sharpe 0.34, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 3.7%, MDD -23.8%, exposure 54%).
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=33, slow=112 |
3.7% | -23.8% | 0.34 | 0.16 | 1.7x | 29 | 54% |
| Donchian 채널 돌파 entryN=69, exitN=78 |
3.1% | -24.5% | 0.30 | 0.13 | 1.5x | 21 | 56% |
| 볼린저 밴드 돌파 n=61, k=1.3 |
2.0% | -33.7% | 0.24 | 0.06 | 1.3x | 60 | 42% |
| EMA 크로스오버 fast=39, slow=107 |
2.1% | -24.9% | 0.23 | 0.09 | 1.3x | 31 | 57% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=20, mult=2.6 |
1.1% | -33.3% | 0.15 | 0.03 | 1.2x | 54 | 41% |
| ROC 모멘텀 n=135, threshold=0.13 |
0.2% | -21.5% | 0.06 | 0.01 | 1.0x | 74 | 19% |
| Supertrend period=23, mult=4.2 |
-0.4% | -40.9% | 0.03 | -0.01 | 0.9x | 80 | 56% |
| ADX / DI 방향성 period=33, threshold=23 |
-0.3% | -7.0% | -0.12 | -0.04 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.1% | -51.8% | -0.26 | -0.08 | 0.6x | 134 | 57% |
| MACD fast=18, slow=33, signal=19 |
-5.8% | -62.1% | -0.44 | -0.09 | 0.4x | 178 | 48% |
| Buy and hold | 3.5% | -42.2% | 0.27 | 0.08 | 1.6x | 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 33-day average price crosses above the 112-day average
- Sell — Sell (to cash) when the 33-day average falls below the 112-day average