Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iShares MSCI Japan High Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Japan High Dividend ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.9%, MDD -19.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.4%, drawdown -39.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.8%, MDD -23.5%, Sharpe 0.83, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR 9.9%, MDD -19.3%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=258 |
10.8% | -23.5% | 0.83 | 0.46 | 3.0x | 5 | 71% |
| SMA 크로스오버 fast=16, slow=219 |
9.9% | -19.3% | 0.77 | 0.51 | 2.8x | 13 | 70% |
| Donchian 채널 돌파 entryN=114, exitN=65 |
8.2% | -15.9% | 0.75 | 0.52 | 2.3x | 13 | 59% |
| ROC 모멘텀 n=141, threshold=-0.02 |
8.9% | -32.4% | 0.70 | 0.27 | 2.5x | 45 | 74% |
| Supertrend period=25, mult=3.9 |
5.1% | -23.1% | 0.48 | 0.22 | 1.7x | 47 | 62% |
| 볼린저 밴드 돌파 n=47, k=3.2 |
1.6% | -11.8% | 0.32 | 0.13 | 1.2x | 11 | 12% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=18, mult=4 |
1.6% | -15.4% | 0.28 | 0.10 | 1.2x | 23 | 20% |
| ADX / DI 방향성 period=38, threshold=21 |
-0.1% | -11.8% | 0.00 | -0.01 | 1.0x | 10 | 7% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-3.1% | -44.5% | -0.19 | -0.07 | 0.7x | 245 | 57% |
| MACD fast=14, slow=60, signal=15 |
-3.7% | -37.4% | -0.28 | -0.10 | 0.7x | 137 | 50% |
| Buy and hold | 10.4% | -39.7% | 0.65 | 0.26 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 258-day EMA
- Sell — Sell when the 25-day EMA falls below the 258-day EMA