Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC MSCI Japan Hedged to USD ETF backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC MSCI Japan Hedged to USD ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.1%, MDD -23.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.8%, drawdown -31.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.2%, MDD -22.9%, Sharpe 0.88, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 8.4%p (CAGR 11.1%, MDD -23.4%, exposure 89%).
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 98% n=8, threshold=-0.08 |
14.2% | -22.9% | 0.88 | 0.62 | 4.0x | 13 | 98% |
| Donchian 채널 돌파 entryN=14, exitN=75 |
11.1% | -23.4% | 0.79 | 0.48 | 3.0x | 23 | 89% |
| SMA 크로스오버 fast=41, slow=134 |
9.5% | -29.5% | 0.69 | 0.32 | 2.6x | 13 | 69% |
| EMA 크로스오버 fast=68, slow=159 |
8.0% | -37.4% | 0.58 | 0.21 | 2.2x | 13 | 74% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
3.0% | -10.5% | 0.51 | 0.28 | 1.4x | 10 | 14% |
| Supertrend period=35, mult=4.9 |
5.2% | -37.5% | 0.46 | 0.14 | 1.7x | 83 | 66% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=3.7 |
2.1% | -34.5% | 0.26 | 0.06 | 1.2x | 52 | 46% |
| Parabolic SAR step=0.01, maxStep=0.18 |
0.8% | -28.1% | 0.13 | 0.03 | 1.1x | 116 | 62% |
| ADX / DI 방향성 period=24, threshold=32 |
-0.0% | -7.2% | 0.01 | -0.00 | 1.0x | 8 | 3% |
| MACD fast=13, slow=57, signal=23 |
-2.5% | -37.4% | -0.19 | -0.07 | 0.8x | 124 | 51% |
| Buy and hold | 13.8% | -31.3% | 0.80 | 0.44 | 3.8x | 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 8-day return is greater than -8%
- Sell — Sell when the 8-day return drops to -8% or below