Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iShares USD High Yield Corporate Bond JPY Hedged ETF backtest
10 trend-following strategies were compared on the full daily history of iShares USD High Yield Corporate Bond JPY Hedged ETF. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.3%, drawdown -33.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.5%, Sharpe 0.45, 0% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.2%, MDD -1.8%, exposure 2%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 0.2%, 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=68, threshold=0.12 |
0.2% | -0.5% | 0.45 | 0.31 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=3.9 |
0.2% | -1.8% | 0.24 | 0.14 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
0.1% | -2.6% | 0.12 | 0.05 | 1.0x | 4 | 3% |
| Donchian 채널 돌파 entryN=129, exitN=88 |
-0.5% | -6.6% | -0.28 | -0.08 | 1.0x | 4 | 13% |
| ADX / DI 방향성 period=32, threshold=31 |
-0.4% | -5.5% | -0.30 | -0.07 | 1.0x | 4 | 7% |
| Supertrend period=35, mult=4.6 |
-1.9% | -23.9% | -0.34 | -0.08 | 0.8x | 32 | 38% |
| SMA 크로스오버 fast=59, slow=224 |
-1.1% | -10.9% | -0.39 | -0.10 | 0.9x | 10 | 24% |
| EMA 크로스오버 fast=77, slow=167 |
-1.0% | -10.1% | -0.45 | -0.10 | 0.9x | 8 | 20% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-6.7% | -46.7% | -1.25 | -0.14 | 0.5x | 96 | 45% |
| MACD fast=15, slow=34, signal=14 |
-7.5% | -50.8% | -1.32 | -0.15 | 0.5x | 118 | 52% |
| Buy and hold | -4.3% | -33.4% | -0.45 | -0.13 | 0.7x | 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 68-day return is greater than 12%
- Sell — Sell when the 68-day return drops to 12% or below