Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI UAE ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI UAE ETF. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -4.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.4%, drawdown -68.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.8%, MDD -19.4%, Sharpe 0.35, 25% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.3%, MDD -29.4%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 0.6%, MDD -4.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=147, threshold=0.08 |
2.8% | -19.4% | 0.35 | 0.14 | 1.4x | 46 | 25% |
| 볼린저 밴드 돌파 n=58, k=3 |
1.7% | -12.5% | 0.33 | 0.14 | 1.2x | 8 | 10% |
| SMA 크로스오버 fast=58, slow=216 |
3.3% | -29.4% | 0.33 | 0.11 | 1.5x | 14 | 40% |
| ADX / DI 방향성 period=22, threshold=36 |
0.6% | -4.7% | 0.24 | 0.12 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=99, exitN=77 |
1.1% | -34.5% | 0.16 | 0.03 | 1.1x | 12 | 34% |
| EMA 크로스오버 fast=58, slow=198 |
1.0% | -30.7% | 0.14 | 0.03 | 1.1x | 14 | 38% |
| MACD fast=22, slow=31, signal=20 |
-1.8% | -39.2% | -0.07 | -0.05 | 0.8x | 130 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=3.7 |
-1.5% | -24.3% | -0.14 | -0.06 | 0.8x | 38 | 22% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.8% | -56.2% | -0.15 | -0.05 | 0.7x | 95 | 50% |
| Supertrend period=24, mult=4.9 |
-3.2% | -48.4% | -0.16 | -0.07 | 0.7x | 55 | 52% |
| Buy and hold | -2.4% | -68.3% | -0.00 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 147-day return is greater than 8%
- Sell — Sell when the 147-day return drops to 8% or below