Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares MSCI Japan UCITS ETF USD (Dist) backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Japan UCITS ETF USD (Dist). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -25.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.4%, MDD -26.9%, Sharpe 0.37, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 96% n=138, threshold=-0.15 |
5.4% | -26.9% | 0.37 | 0.20 | 2.5x | 15 | 96% |
| SMA 크로스오버 fast=60, slow=110 |
3.8% | -27.9% | 0.31 | 0.14 | 1.9x | 45 | 62% |
| EMA 크로스오버 fast=53, slow=209 |
2.6% | -26.9% | 0.23 | 0.10 | 1.6x | 23 | 68% |
| Donchian 채널 돌파 entryN=116, exitN=39 |
2.0% | -26.6% | 0.21 | 0.07 | 1.4x | 35 | 41% |
| ADX / DI 방향성 period=30, threshold=27 |
0.4% | -11.3% | 0.15 | 0.04 | 1.1x | 4 | 1% |
| Supertrend period=15, mult=4.9 |
0.9% | -27.9% | 0.13 | 0.03 | 1.2x | 72 | 57% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
0.8% | -28.6% | 0.13 | 0.03 | 1.2x | 28 | 15% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=3.1 |
-1.3% | -48.9% | -0.04 | -0.03 | 0.8x | 80 | 32% |
| MACD fast=19, slow=24, signal=11 |
-4.0% | -63.4% | -0.20 | -0.06 | 0.5x | 284 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.7% | -69.5% | -0.32 | -0.08 | 0.4x | 158 | 54% |
| Buy and hold | 6.0% | -25.7% | 0.39 | 0.23 | 2.8x | 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 138-day return is greater than -15%
- Sell — Sell when the 138-day return drops to -15% or below