Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Intl Quality Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Intl Quality Factor ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -32.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -22.1%, Sharpe 0.42, 63% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=25, slow=136 |
4.3% | -22.1% | 0.42 | 0.20 | 1.6x | 21 | 63% |
| EMA 크로스오버 fast=39, slow=127 |
4.2% | -20.4% | 0.41 | 0.21 | 1.6x | 17 | 67% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
0.3% | -2.0% | 0.34 | 0.15 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=21, threshold=35 |
0.6% | -2.2% | 0.32 | 0.26 | 1.1x | 4 | 3% |
| Donchian 채널 돌파 entryN=53, exitN=63 |
2.1% | -26.7% | 0.25 | 0.08 | 1.3x | 25 | 61% |
| ROC 모멘텀 n=97, threshold=-0.09 |
2.4% | -27.7% | 0.24 | 0.09 | 1.3x | 39 | 87% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=24, mult=3.3 |
0.4% | -4.4% | 0.19 | 0.10 | 1.1x | 12 | 5% |
| MACD fast=15, slow=47, signal=26 |
-0.8% | -26.0% | -0.03 | -0.03 | 0.9x | 113 | 51% |
| Supertrend period=8, mult=4.7 |
-1.3% | -25.6% | -0.09 | -0.05 | 0.9x | 69 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.3% | -37.5% | -0.27 | -0.09 | 0.7x | 109 | 58% |
| Buy and hold | 6.0% | -32.4% | 0.42 | 0.18 | 2.0x | 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 25-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 25-day average falls below the 136-day average