Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Global 100 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Global 100 ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.9%, MDD -27.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.5%, drawdown -57.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -27.7%, Sharpe 0.55, 69% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.0%, MDD -28.0%, exposure 69%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 5.9%, MDD -27.7%, exposure 69%).
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=15, slow=188 |
5.9% | -27.7% | 0.55 | 0.21 | 4.4x | 41 | 69% |
| EMA 크로스오버 fast=56, slow=89 |
6.0% | -28.0% | 0.54 | 0.21 | 4.5x | 37 | 69% |
| Donchian 채널 돌파 entryN=91, exitN=70 |
4.0% | -22.0% | 0.43 | 0.18 | 2.8x | 41 | 58% |
| Supertrend period=13, mult=4.6 |
3.7% | -33.1% | 0.37 | 0.11 | 2.5x | 99 | 62% |
| ROC 모멘텀 n=149, threshold=-0.04 |
3.9% | -32.7% | 0.36 | 0.12 | 2.7x | 113 | 76% |
| 볼린저 밴드 돌파 n=50, k=3.2 |
0.6% | -5.3% | 0.28 | 0.11 | 1.2x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=16, mult=4 |
1.8% | -26.0% | 0.27 | 0.07 | 1.6x | 63 | 35% |
| MACD fast=28, slow=58, signal=50 |
0.5% | -35.4% | 0.10 | 0.01 | 1.1x | 156 | 52% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.2% | -40.8% | 0.05 | -0.00 | 1.0x | 237 | 63% |
| ADX / DI 방향성 period=21, threshold=37 |
0.0% | -1.3% | 0.04 | 0.01 | 1.0x | 2 | 0% |
| Buy and hold | 5.5% | -57.9% | 0.37 | 0.09 | 4.0x | 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 15-day average price crosses above the 188-day average
- Sell — Sell (to cash) when the 15-day average falls below the 188-day average