Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI ACWI ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI ACWI ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.3%, MDD -21.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -56.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.3%, MDD -21.5%, Sharpe 0.58, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 34.8%p (CAGR 6.3%, MDD -21.5%, exposure 72%).
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=55, slow=86 |
6.3% | -21.5% | 0.58 | 0.30 | 3.1x | 27 | 72% |
| SMA 크로스오버 fast=19, slow=189 |
5.9% | -21.7% | 0.55 | 0.27 | 2.9x | 27 | 72% |
| Donchian 채널 돌파 entryN=56, exitN=69 |
5.5% | -24.0% | 0.49 | 0.23 | 2.7x | 31 | 74% |
| Supertrend period=18, mult=5 |
4.0% | -27.2% | 0.41 | 0.15 | 2.1x | 65 | 64% |
| ROC 모멘텀 n=128, threshold=-0.04 |
4.5% | -33.0% | 0.41 | 0.14 | 2.3x | 87 | 80% |
| 볼린저 밴드 돌파 n=75, k=1.2 |
1.8% | -23.9% | 0.24 | 0.08 | 1.4x | 87 | 55% |
| ADX / DI 방향성 period=38, threshold=37 |
0.1% | -4.0% | 0.10 | 0.02 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=4 |
-0.6% | -32.0% | -0.04 | -0.02 | 0.9x | 54 | 28% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.9% | -49.6% | -0.10 | -0.04 | 0.7x | 187 | 62% |
| MACD fast=16, slow=34, signal=7 |
-6.1% | -71.1% | -0.46 | -0.09 | 0.3x | 364 | 52% |
| Buy and hold | 6.5% | -56.3% | 0.41 | 0.12 | 3.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 86-day EMA
- Sell — Sell when the 55-day EMA falls below the 86-day EMA