Trend-Following Backtester · Guide · backtest 한국어
etf · JP
BlackRock (Japan) iShares USD Invt. Grade Corp. Bd. ETF (1496) backtest
10 trend-following strategies were compared on the full daily history of BlackRock (Japan) iShares USD Invt. Grade Corp. Bd. ETF (1496). 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.0%, drawdown -42.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.35, 0% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.4%, MDD -4.7%, exposure 10%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 0.3%, MDD -0.5%, exposure 0%).
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 n=5, threshold=0.09 |
0.3% | -0.5% | 0.35 | 0.59 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=22, threshold=39 |
0.4% | -4.7% | 0.23 | 0.09 | 1.0x | 4 | 10% |
| EMA 크로스오버 fast=73, slow=282 |
0.3% | -21.0% | 0.08 | 0.01 | 1.0x | 4 | 24% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
0.0% | -2.8% | 0.06 | 0.01 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=179, exitN=19 |
0.1% | -4.9% | 0.05 | 0.02 | 1.0x | 4 | 5% |
| Supertrend period=29, mult=4.9 |
-0.9% | -23.6% | -0.15 | -0.04 | 0.9x | 26 | 39% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=3 |
-0.6% | -13.7% | -0.17 | -0.04 | 0.9x | 20 | 18% |
| SMA 크로스오버 fast=51, slow=210 |
-1.6% | -23.1% | -0.25 | -0.07 | 0.9x | 12 | 29% |
| MACD fast=22, slow=57, signal=23 |
-5.2% | -39.1% | -0.85 | -0.13 | 0.6x | 62 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.5% | -45.9% | -1.13 | -0.14 | 0.5x | 134 | 48% |
| Buy and hold | -5.0% | -42.0% | -0.52 | -0.12 | 0.6x | 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 5-day return is greater than 9%
- Sell — Sell when the 5-day return drops to 9% or below