Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares ESG Aware MSCI EM ETF backtest
10 trend-following strategies were compared on the full daily history of iShares ESG Aware MSCI EM ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -24.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.9%, drawdown -43.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -24.6%, Sharpe 0.63, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 8.4%, MDD -24.6%, exposure 58%).
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=43, slow=97 |
8.4% | -24.6% | 0.63 | 0.34 | 2.3x | 18 | 58% |
| Donchian 채널 돌파 entryN=41, exitN=75 |
7.3% | -26.7% | 0.55 | 0.27 | 2.0x | 17 | 64% |
| 볼린저 밴드 돌파 n=52, k=1.4 |
5.1% | -27.0% | 0.50 | 0.19 | 1.7x | 44 | 44% |
| EMA 크로스오버 fast=30, slow=105 |
4.6% | -32.8% | 0.39 | 0.14 | 1.6x | 23 | 60% |
| ROC 모멘텀 n=117, threshold=-0.02 |
4.3% | -39.2% | 0.37 | 0.11 | 1.5x | 69 | 65% |
| Keltner 채널 돌파 emaPeriod=81, atrPeriod=22, mult=3.3 |
2.8% | -37.5% | 0.31 | 0.08 | 1.3x | 30 | 40% |
| ADX / DI 방향성 period=39, threshold=15 |
0.2% | -16.6% | 0.07 | 0.01 | 1.0x | 24 | 15% |
| Supertrend period=26, mult=4.2 |
-0.1% | -40.5% | 0.06 | -0.00 | 1.0x | 68 | 55% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.2% | -54.6% | -0.11 | -0.04 | 0.8x | 91 | 56% |
| MACD fast=8, slow=46, signal=6 |
-5.9% | -54.6% | -0.40 | -0.11 | 0.5x | 245 | 51% |
| Buy and hold | 6.9% | -43.0% | 0.43 | 0.16 | 2.0x | 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 43-day average price crosses above the 97-day average
- Sell — Sell (to cash) when the 43-day average falls below the 97-day average