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 Keltner 채널 돌파 (CAGR 6.5%, MDD -25.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -81.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.5%, MDD -25.6%, Sharpe 0.48, 29% exposure.
CAGR reference leader: MACD — CAGR 7.4%, MDD -37.8%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 6.5%, MDD -25.6%, exposure 29%).
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=29, mult=1.7 |
6.5% | -25.6% | 0.48 | 0.25 | 2.7x | 122 | 29% |
| MACD fast=22, slow=67, signal=47 |
7.4% | -37.8% | 0.45 | 0.20 | 3.1x | 86 | 46% |
| 볼린저 밴드 돌파 n=19, k=1.8 |
5.2% | -30.0% | 0.39 | 0.17 | 2.2x | 140 | 32% |
| Supertrend period=8, mult=4 |
4.3% | -53.5% | 0.31 | 0.08 | 1.9x | 84 | 43% |
| ADX / DI 방향성 period=30, threshold=9 |
3.8% | -38.3% | 0.30 | 0.10 | 1.8x | 160 | 43% |
| Donchian 채널 돌파 entryN=26, exitN=6 |
3.3% | -30.5% | 0.29 | 0.11 | 1.7x | 128 | 28% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.1% | -45.4% | 0.11 | 0.00 | 1.0x | 135 | 50% |
| SMA 크로스오버 fast=14, slow=202 |
0.2% | -59.2% | 0.11 | 0.00 | 1.0x | 32 | 47% |
| EMA 크로스오버 fast=18, slow=214 |
-0.6% | -49.5% | 0.07 | -0.01 | 0.9x | 24 | 46% |
| ROC 모멘텀 n=24, threshold=0.06 |
-0.4% | -51.3% | 0.06 | -0.01 | 0.9x | 216 | 27% |
| Buy and hold | -4.2% | -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 + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average