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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -27.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -57.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.7%, MDD -27.3%, Sharpe 0.52, 69% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.9%, MDD -31.4%, exposure 68%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 5.7%, MDD -27.3%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=51, slow=106 |
5.7% | -27.3% | 0.52 | 0.21 | 4.2x | 33 | 69% |
| SMA 크로스오버 fast=48, slow=188 |
5.9% | -31.4% | 0.51 | 0.19 | 4.4x | 23 | 68% |
| Donchian 채널 돌파 entryN=90, exitN=50 |
3.5% | -24.8% | 0.40 | 0.14 | 2.4x | 49 | 52% |
| Supertrend period=12, mult=4.5 |
3.5% | -32.3% | 0.36 | 0.11 | 2.4x | 102 | 60% |
| ROC 모멘텀 n=131, threshold=-0.03 |
3.4% | -41.7% | 0.33 | 0.08 | 2.4x | 141 | 74% |
| 볼린저 밴드 돌파 n=33, k=3 |
0.7% | -7.6% | 0.27 | 0.10 | 1.2x | 10 | 5% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=3.6 |
0.6% | -28.8% | 0.12 | 0.02 | 1.2x | 68 | 25% |
| ADX / DI 방향성 period=38, threshold=14 |
0.1% | -39.0% | 0.05 | 0.00 | 1.0x | 96 | 20% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.8% | -48.4% | -0.01 | -0.02 | 0.8x | 249 | 62% |
| MACD fast=21, slow=35, signal=24 |
-4.2% | -74.3% | -0.31 | -0.06 | 0.3x | 286 | 51% |
| Buy and hold | 5.4% | -57.9% | 0.37 | 0.09 | 3.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 106-day EMA
- Sell — Sell when the 51-day EMA falls below the 106-day EMA