Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Emerging Markets ex China ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Emerging Markets ex China ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -24.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -46.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.4%, MDD -18.4%, Sharpe 0.63, 20% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.5%, MDD -24.8%, exposure 65%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 27.7%p (CAGR 7.5%, MDD -24.8%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=138, threshold=0.14 |
6.4% | -18.4% | 0.63 | 0.35 | 1.8x | 21 | 20% |
| SMA 크로스오버 fast=15, slow=111 |
7.3% | -25.5% | 0.57 | 0.28 | 1.9x | 25 | 58% |
| Donchian 채널 돌파 entryN=51, exitN=73 |
7.5% | -24.8% | 0.57 | 0.30 | 1.9x | 17 | 65% |
| EMA 크로스오버 fast=36, slow=49 |
6.6% | -25.2% | 0.52 | 0.26 | 1.8x | 27 | 61% |
| 볼린저 밴드 돌파 n=49, k=2.9 |
3.0% | -12.0% | 0.48 | 0.25 | 1.3x | 10 | 12% |
| Supertrend period=12, mult=5 |
3.5% | -27.1% | 0.34 | 0.13 | 1.4x | 46 | 53% |
| ADX / DI 방향성 period=13, threshold=38 |
0.9% | -8.3% | 0.24 | 0.11 | 1.1x | 8 | 4% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=1.5 |
1.7% | -25.8% | 0.20 | 0.07 | 1.2x | 79 | 47% |
| MACD fast=19, slow=50, signal=14 |
-0.9% | -44.6% | -0.01 | -0.02 | 0.9x | 101 | 49% |
| Parabolic SAR step=0.045, maxStep=0.08 |
-1.8% | -42.7% | -0.07 | -0.04 | 0.8x | 169 | 57% |
| Buy and hold | 7.4% | -46.1% | 0.45 | 0.16 | 1.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 138-day return is greater than 14%
- Sell — Sell when the 138-day return drops to 14% or below