Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI China ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI China ETF. 6 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 4.9%, MDD -20.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.4%, drawdown -63.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.9%, MDD -20.6%, Sharpe 0.47, 25% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 4.9%, MDD -20.6%, exposure 25%).
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=45, atrPeriod=14, mult=3.5 |
4.9% | -20.6% | 0.47 | 0.24 | 2.1x | 38 | 25% |
| Donchian 채널 돌파 entryN=59, exitN=21 |
4.0% | -21.6% | 0.37 | 0.18 | 1.8x | 42 | 31% |
| 볼린저 밴드 돌파 n=50, k=2.1 |
3.3% | -23.2% | 0.32 | 0.14 | 1.6x | 44 | 27% |
| Supertrend period=16, mult=5 |
4.0% | -34.7% | 0.31 | 0.11 | 1.8x | 57 | 50% |
| SMA 크로스오버 fast=59, slow=163 |
3.1% | -40.2% | 0.26 | 0.08 | 1.6x | 22 | 51% |
| EMA 크로스오버 fast=37, slow=54 |
2.5% | -38.2% | 0.23 | 0.07 | 1.5x | 42 | 48% |
| ADX / DI 방향성 period=39, threshold=22 |
0.3% | -5.6% | 0.12 | 0.05 | 1.0x | 4 | 2% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.6% | -43.4% | 0.05 | -0.01 | 0.9x | 125 | 50% |
| ROC 모멘텀 n=99, threshold=-0.03 |
-0.9% | -48.8% | 0.04 | -0.02 | 0.9x | 106 | 58% |
| MACD fast=17, slow=34, signal=19 |
-2.2% | -57.5% | -0.04 | -0.04 | 0.7x | 183 | 50% |
| Buy and hold | 0.4% | -63.4% | 0.15 | 0.01 | 1.1x | 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 45-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 45-day average