Trend-Following Backtester · Guide · backtest 한국어
etf · JP
BlackRock (Japan) iShares S&P 500 ETF (1655) backtest
10 trend-following strategies were compared on the full daily history of BlackRock (Japan) iShares S&P 500 ETF (1655). 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -9.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.1%, drawdown -98.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.9%, MDD -23.2%, Sharpe 1.04, 74% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.0%p higher than buy and hold, while drawdown improves by 75.0%p (CAGR 1.4%, MDD -9.2%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=23 |
13.9% | -23.2% | 1.04 | 0.60 | 3.2x | 41 | 74% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
11.8% | -17.3% | 1.03 | 0.68 | 2.7x | 38 | 61% |
| SMA 크로스오버 fast=16, slow=37 |
12.5% | -18.5% | 0.92 | 0.68 | 2.8x | 39 | 72% |
| EMA 크로스오버 fast=17, slow=31 |
10.3% | -27.4% | 0.80 | 0.38 | 2.4x | 39 | 70% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=13, mult=1.3 |
8.1% | -23.8% | 0.69 | 0.34 | 2.0x | 51 | 65% |
| Supertrend period=23, mult=4.9 |
9.2% | -28.2% | 0.69 | 0.33 | 2.2x | 45 | 76% |
| ROC 모멘텀 n=29, threshold=-0.01 |
7.9% | -28.8% | 0.62 | 0.27 | 2.0x | 99 | 75% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.8% | -19.6% | 0.57 | 0.35 | 1.8x | 69 | 62% |
| MACD fast=21, slow=49, signal=14 |
3.6% | -23.1% | 0.35 | 0.16 | 1.4x | 96 | 53% |
| ADX / DI 방향성 period=36, threshold=18 |
1.4% | -9.2% | 0.34 | 0.15 | 1.1x | 14 | 12% |
| Buy and hold | -9.1% | -98.2% | 0.33 | -0.09 | 0.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 23 days