Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iShares Core US Treasury Bond 7-10 Year JPY Hedged ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core US Treasury Bond 7-10 Year JPY Hedged ETF. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.2%, MDD -7.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.7%, drawdown -42.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.5%, MDD -8.7%, Sharpe 0.18, 19% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR -0.2%, MDD -7.2%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=197 |
0.5% | -8.7% | 0.18 | 0.06 | 1.1x | 4 | 19% |
| ADX / DI 방향성 period=29, threshold=27 |
0.3% | -7.9% | 0.11 | 0.03 | 1.0x | 8 | 8% |
| Donchian 채널 돌파 entryN=116, exitN=69 |
0.3% | -9.7% | 0.10 | 0.03 | 1.0x | 4 | 19% |
| SMA 크로스오버 fast=30, slow=257 |
0.1% | -12.7% | 0.05 | 0.01 | 1.0x | 8 | 22% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
0.1% | -7.9% | 0.04 | 0.01 | 1.0x | 10 | 11% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=31, mult=4 |
-0.2% | -7.2% | -0.10 | -0.03 | 1.0x | 4 | 1% |
| ROC 모멘텀 n=45, threshold=0.06 |
-0.3% | -7.3% | -0.15 | -0.05 | 1.0x | 8 | 2% |
| Supertrend period=13, mult=4.8 |
-2.2% | -23.4% | -0.45 | -0.09 | 0.8x | 36 | 32% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-4.4% | -40.3% | -0.87 | -0.11 | 0.6x | 72 | 43% |
| MACD fast=17, slow=53, signal=18 |
-4.5% | -37.5% | -0.89 | -0.12 | 0.6x | 85 | 47% |
| Buy and hold | -4.7% | -42.3% | -0.64 | -0.11 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 197-day EMA
- Sell — Sell when the 31-day EMA falls below the 197-day EMA