Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Asia 50 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Asia 50 ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.7%, MDD -26.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.6%, drawdown -61.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -28.1%, Sharpe 0.52, 57% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 5.7%, MDD -26.8%, exposure 44%).
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=59, slow=157 |
7.7% | -28.1% | 0.52 | 0.28 | 4.0x | 29 | 57% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=1.9 |
5.7% | -26.8% | 0.47 | 0.21 | 2.8x | 102 | 44% |
| 볼린저 밴드 돌파 n=76, k=1.3 |
5.6% | -28.6% | 0.45 | 0.19 | 2.7x | 62 | 45% |
| EMA 크로스오버 fast=18, slow=80 |
5.7% | -32.9% | 0.42 | 0.17 | 2.8x | 57 | 58% |
| Donchian 채널 돌파 entryN=60, exitN=66 |
5.4% | -29.7% | 0.40 | 0.18 | 2.7x | 35 | 58% |
| Parabolic SAR step=0.02, maxStep=0.02 |
4.0% | -38.5% | 0.32 | 0.10 | 2.1x | 98 | 59% |
| Supertrend period=14, mult=5 |
3.4% | -48.3% | 0.29 | 0.07 | 1.9x | 78 | 54% |
| ROC 모멘텀 n=114, threshold=0 |
3.3% | -43.8% | 0.28 | 0.07 | 1.8x | 141 | 57% |
| ADX / DI 방향성 period=23, threshold=32 |
0.1% | -6.8% | 0.08 | 0.02 | 1.0x | 2 | 1% |
| MACD fast=12, slow=52, signal=31 |
-2.9% | -64.3% | -0.09 | -0.04 | 0.6x | 204 | 51% |
| Buy and hold | 5.6% | -61.1% | 0.34 | 0.09 | 2.8x | 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 59-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 59-day average falls below the 157-day average