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 EMA 크로스오버 (CAGR 10.6%, MDD -22.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.3%, drawdown -39.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.6%, MDD -22.5%, Sharpe 0.82, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 10.6%, MDD -22.5%, exposure 72%).
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=38, slow=217 |
10.6% | -22.5% | 0.82 | 0.47 | 3.0x | 5 | 72% |
| SMA 크로스오버 fast=29, slow=176 |
10.1% | -25.2% | 0.79 | 0.40 | 2.9x | 13 | 68% |
| Donchian 채널 돌파 entryN=111, exitN=77 |
8.3% | -15.9% | 0.75 | 0.52 | 2.4x | 13 | 59% |
| ROC 모멘텀 n=139, threshold=-0.05 |
9.6% | -34.6% | 0.72 | 0.28 | 2.7x | 29 | 78% |
| Supertrend period=29, mult=4.4 |
5.6% | -22.2% | 0.50 | 0.25 | 1.8x | 39 | 66% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
1.3% | -7.5% | 0.39 | 0.17 | 1.2x | 4 | 6% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=3.8 |
2.6% | -21.8% | 0.37 | 0.12 | 1.3x | 25 | 29% |
| ADX / DI 방향성 period=17, threshold=38 |
0.6% | -5.5% | 0.27 | 0.11 | 1.1x | 6 | 3% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-2.4% | -37.5% | -0.15 | -0.06 | 0.8x | 143 | 58% |
| MACD fast=15, slow=67, signal=13 |
-4.2% | -38.5% | -0.33 | -0.11 | 0.6x | 142 | 50% |
| Buy and hold | 10.3% | -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 38-day EMA crosses above the 217-day EMA
- Sell — Sell when the 38-day EMA falls below the 217-day EMA