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 ADX / DI 방향성 (CAGR 1.8%, MDD -14.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.9%, drawdown -78.3%).
Sharpe leader (same as main): Supertrend — CAGR 9.1%, MDD -39.2%, Sharpe 0.52, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 1.8%, MDD -14.7%, exposure 5%).
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=11, mult=3.8 |
9.1% | -39.2% | 0.52 | 0.23 | 5.0x | 110 | 49% |
| 볼린저 밴드 돌파 n=40, k=1.1 |
8.1% | -36.7% | 0.51 | 0.22 | 4.2x | 124 | 41% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=27, mult=1.6 |
7.0% | -48.0% | 0.47 | 0.15 | 3.5x | 128 | 39% |
| Donchian 채널 돌파 entryN=26, exitN=16 |
6.8% | -38.5% | 0.43 | 0.18 | 3.4x | 104 | 42% |
| Parabolic SAR step=0.01, maxStep=0.04 |
6.4% | -42.6% | 0.39 | 0.15 | 3.2x | 152 | 53% |
| MACD fast=21, slow=30, signal=16 |
5.1% | -56.7% | 0.32 | 0.09 | 2.5x | 200 | 52% |
| ADX / DI 방향성 period=15, threshold=32 |
1.8% | -14.7% | 0.29 | 0.13 | 1.4x | 28 | 5% |
| SMA 크로스오버 fast=17, slow=41 |
2.1% | -48.8% | 0.21 | 0.04 | 1.5x | 112 | 49% |
| EMA 크로스오버 fast=12, slow=46 |
1.6% | -58.9% | 0.18 | 0.03 | 1.3x | 98 | 49% |
| ROC 모멘텀 n=128, threshold=0 |
-1.3% | -74.5% | 0.05 | -0.02 | 0.8x | 140 | 49% |
| Buy and hold | -1.9% | -78.3% | 0.14 | -0.02 | 0.7x | 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) — 11-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)