Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Emerging Markets Asia ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Emerging Markets Asia ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.3%, MDD -26.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.2%, drawdown -45.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -26.7%, Sharpe 0.51, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 6.3%, MDD -26.7%, exposure 56%).
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=33, slow=108 |
6.3% | -26.7% | 0.51 | 0.23 | 2.4x | 31 | 56% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=14, mult=3.5 |
3.7% | -14.0% | 0.42 | 0.27 | 1.7x | 42 | 34% |
| Donchian 채널 돌파 entryN=74, exitN=68 |
4.9% | -24.0% | 0.42 | 0.20 | 2.0x | 23 | 57% |
| 볼린저 밴드 돌파 n=48, k=1.2 |
3.3% | -25.0% | 0.34 | 0.13 | 1.6x | 81 | 45% |
| EMA 크로스오버 fast=39, slow=68 |
3.4% | -32.4% | 0.31 | 0.11 | 1.6x | 37 | 57% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.5% | -35.5% | 0.25 | 0.07 | 1.4x | 69 | 58% |
| Supertrend period=22, mult=5 |
1.8% | -35.6% | 0.20 | 0.05 | 1.3x | 62 | 56% |
| ROC 모멘텀 n=112, threshold=-0.03 |
1.8% | -40.9% | 0.20 | 0.04 | 1.3x | 109 | 66% |
| ADX / DI 방향성 period=39, threshold=20 |
-0.0% | -12.2% | 0.01 | -0.00 | 1.0x | 12 | 5% |
| MACD fast=17, slow=47, signal=18 |
-2.9% | -52.5% | -0.16 | -0.05 | 0.7x | 173 | 51% |
| Buy and hold | 5.2% | -45.6% | 0.35 | 0.11 | 2.1x | 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 33-day average price crosses above the 108-day average
- Sell — Sell (to cash) when the 33-day average falls below the 108-day average