Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Brazil Small-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Brazil Small-Cap ETF. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.7%, MDD -26.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.1%, drawdown -81.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.8%, MDD -29.8%, Sharpe 0.43, 30% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 5.7%, MDD -26.8%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=11, mult=1.6 |
5.8% | -29.8% | 0.43 | 0.19 | 2.5x | 134 | 30% |
| 볼린저 밴드 돌파 n=18, k=1.7 |
5.7% | -26.8% | 0.41 | 0.21 | 2.4x | 156 | 34% |
| Supertrend period=8, mult=4.1 |
4.5% | -50.7% | 0.32 | 0.09 | 2.0x | 83 | 44% |
| MACD fast=22, slow=47, signal=19 |
4.5% | -48.3% | 0.32 | 0.09 | 2.0x | 141 | 47% |
| Donchian 채널 돌파 entryN=24, exitN=10 |
3.4% | -42.3% | 0.28 | 0.08 | 1.7x | 106 | 35% |
| ADX / DI 방향성 period=30, threshold=13 |
2.5% | -30.8% | 0.23 | 0.08 | 1.5x | 104 | 32% |
| SMA 크로스오버 fast=8, slow=38 |
2.0% | -43.7% | 0.20 | 0.05 | 1.4x | 123 | 47% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.1% | -45.4% | 0.11 | -0.00 | 1.0x | 137 | 50% |
| EMA 크로스오버 fast=8, slow=39 |
-0.1% | -63.8% | 0.10 | -0.00 | 1.0x | 121 | 49% |
| ROC 모멘텀 n=23, threshold=0.08 |
-0.1% | -42.1% | 0.07 | -0.00 | 1.0x | 218 | 21% |
| Buy and hold | -4.1% | -81.7% | 0.05 | -0.05 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 1.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average