Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI ACWI ex U.S. ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI ACWI ex U.S. ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.3%, MDD -22.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.1%, drawdown -60.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.3%, MDD -22.4%, Sharpe 0.48, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 5.3%, MDD -22.4%, exposure 60%).
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=27, slow=108 |
5.3% | -22.4% | 0.48 | 0.24 | 2.6x | 39 | 60% |
| EMA 크로스오버 fast=48, slow=84 |
3.1% | -29.0% | 0.31 | 0.11 | 1.8x | 37 | 63% |
| Donchian 채널 돌파 entryN=47, exitN=61 |
3.2% | -27.4% | 0.30 | 0.12 | 1.8x | 37 | 62% |
| Supertrend period=19, mult=5 |
1.7% | -35.3% | 0.20 | 0.05 | 1.4x | 67 | 58% |
| ROC 모멘텀 n=83, threshold=-0.04 |
1.4% | -41.4% | 0.17 | 0.03 | 1.3x | 139 | 72% |
| 볼린저 밴드 돌파 n=55, k=3.1 |
0.3% | -9.1% | 0.14 | 0.03 | 1.1x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=3.2 |
-0.4% | -28.3% | -0.00 | -0.01 | 0.9x | 70 | 31% |
| ADX / DI 방향성 period=36, threshold=38 |
-0.0% | -3.0% | -0.01 | -0.00 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.6% | -65.8% | -0.23 | -0.05 | 0.5x | 174 | 58% |
| MACD fast=24, slow=50, signal=23 |
-4.5% | -59.6% | -0.29 | -0.08 | 0.4x | 170 | 50% |
| Buy and hold | 2.1% | -60.6% | 0.20 | 0.03 | 1.5x | 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 27-day average price crosses above the 108-day average
- Sell — Sell (to cash) when the 27-day average falls below the 108-day average