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 8.0%, MDD -24.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.4%, drawdown -43.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -24.6%, Sharpe 0.61, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 8.0%, MDD -24.6%, exposure 57%).
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 |
8.0% | -24.6% | 0.61 | 0.33 | 2.2x | 17 | 57% |
| Donchian 채널 돌파 entryN=41, exitN=75 |
6.9% | -26.7% | 0.53 | 0.26 | 1.9x | 17 | 64% |
| 볼린저 밴드 돌파 n=52, k=1.4 |
5.2% | -27.0% | 0.50 | 0.19 | 1.7x | 44 | 44% |
| EMA 크로스오버 fast=30, slow=105 |
4.1% | -32.8% | 0.36 | 0.13 | 1.5x | 23 | 59% |
| ROC 모멘텀 n=117, threshold=-0.02 |
3.9% | -39.2% | 0.34 | 0.10 | 1.5x | 69 | 65% |
| Keltner 채널 돌파 emaPeriod=81, atrPeriod=22, mult=3.3 |
2.9% | -37.5% | 0.32 | 0.08 | 1.3x | 30 | 41% |
| 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 | 56% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.2% | -54.6% | -0.11 | -0.04 | 0.8x | 90 | 56% |
| MACD fast=8, slow=46, signal=6 |
-6.3% | -54.6% | -0.44 | -0.12 | 0.5x | 244 | 50% |
| Buy and hold | 6.4% | -43.0% | 0.41 | 0.15 | 1.9x | 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