Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Thailand ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Thailand ETF. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.7%, MDD -15.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.8%, drawdown -64.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -31.5%, Sharpe 0.51, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 3.7%, MDD -15.0%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=76, exitN=58 |
6.3% | -31.5% | 0.51 | 0.20 | 3.1x | 29 | 47% |
| 볼린저 밴드 돌파 n=63, k=2.7 |
3.7% | -15.0% | 0.46 | 0.25 | 2.0x | 20 | 14% |
| SMA 크로스오버 fast=18, slow=179 |
5.6% | -35.2% | 0.43 | 0.16 | 2.7x | 29 | 54% |
| EMA 크로스오버 fast=36, slow=102 |
4.9% | -38.9% | 0.39 | 0.13 | 2.4x | 39 | 53% |
| ROC 모멘텀 n=116, threshold=-0.03 |
4.7% | -49.9% | 0.36 | 0.09 | 2.3x | 129 | 62% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=25, mult=3.1 |
1.9% | -15.8% | 0.36 | 0.12 | 1.4x | 30 | 7% |
| Supertrend period=22, mult=4.1 |
4.1% | -43.4% | 0.34 | 0.09 | 2.1x | 102 | 54% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.6% | -40.0% | 0.24 | 0.07 | 1.6x | 89 | 55% |
| ADX / DI 방향성 period=12, threshold=39 |
0.7% | -18.4% | 0.15 | 0.04 | 1.1x | 34 | 5% |
| MACD fast=16, slow=35, signal=19 |
0.0% | -50.3% | 0.08 | 0.00 | 1.0x | 212 | 49% |
| Buy and hold | 1.8% | -64.2% | 0.20 | 0.03 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 76 days
- Sell — Sell when price breaks below the lowest low of the last 58 days