Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI World ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI World ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -34.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.6%, MDD -20.9%, Sharpe 0.59, 77% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=21, slow=134 |
6.6% | -20.9% | 0.59 | 0.32 | 2.5x | 25 | 77% |
| SMA 크로스오버 fast=16, slow=188 |
6.2% | -20.9% | 0.55 | 0.30 | 2.4x | 27 | 76% |
| Donchian 채널 돌파 entryN=52, exitN=74 |
5.0% | -26.8% | 0.48 | 0.19 | 2.0x | 25 | 75% |
| ROC 모멘텀 n=126, threshold=-0.03 |
4.6% | -35.7% | 0.42 | 0.13 | 1.9x | 69 | 82% |
| Supertrend period=12, mult=4.7 |
3.4% | -25.4% | 0.37 | 0.14 | 1.6x | 63 | 64% |
| 볼린저 밴드 돌파 n=72, k=2.3 |
1.0% | -15.4% | 0.20 | 0.06 | 1.1x | 20 | 21% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.9% | -29.0% | 0.14 | 0.03 | 1.1x | 143 | 64% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.6 |
0.3% | -20.6% | 0.07 | 0.01 | 1.0x | 48 | 35% |
| ADX / DI 방향성 period=31, threshold=37 |
-0.0% | -3.5% | -0.03 | -0.01 | 1.0x | 2 | 0% |
| MACD fast=9, slow=33, signal=12 |
-5.3% | -59.3% | -0.48 | -0.09 | 0.5x | 294 | 51% |
| Buy and hold | 10.0% | -34.0% | 0.65 | 0.30 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 134-day EMA
- Sell — Sell when the 21-day EMA falls below the 134-day EMA