Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Turkey ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Turkey ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.3%, MDD -39.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.2%, drawdown -78.3%).
Sharpe leader (same as main): Supertrend — CAGR 9.3%, MDD -39.1%, Sharpe 0.53, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR 9.3%, MDD -39.1%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=3.8 |
9.3% | -39.1% | 0.53 | 0.24 | 5.1x | 108 | 49% |
| 볼린저 밴드 돌파 n=38, k=1.4 |
7.2% | -41.3% | 0.47 | 0.18 | 3.6x | 110 | 38% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=1.7 |
6.2% | -52.0% | 0.43 | 0.12 | 3.0x | 122 | 38% |
| Parabolic SAR step=0.01, maxStep=0.04 |
6.6% | -42.6% | 0.39 | 0.16 | 3.2x | 150 | 53% |
| Donchian 채널 돌파 entryN=33, exitN=12 |
5.2% | -44.3% | 0.38 | 0.12 | 2.5x | 110 | 36% |
| MACD fast=13, slow=29, signal=24 |
5.1% | -56.9% | 0.33 | 0.09 | 2.5x | 218 | 52% |
| SMA 크로스오버 fast=11, slow=49 |
4.6% | -42.7% | 0.31 | 0.11 | 2.3x | 104 | 49% |
| ADX / DI 방향성 period=28, threshold=14 |
1.8% | -46.6% | 0.19 | 0.04 | 1.4x | 136 | 26% |
| EMA 크로스오버 fast=17, slow=158 |
-0.9% | -68.1% | 0.07 | -0.01 | 0.8x | 55 | 47% |
| ROC 모멘텀 n=20, threshold=0.06 |
-0.4% | -67.1% | 0.06 | -0.01 | 0.9x | 370 | 27% |
| Buy and hold | -1.2% | -78.3% | 0.15 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)