Trend-Following Backtester · Guide · backtest 한국어
etf · JP
BlackRock (Japan) iShares US Treasury Bd. 7-10 ETF (1656) backtest
10 trend-following strategies were compared on the full daily history of BlackRock (Japan) iShares US Treasury Bd. 7-10 ETF (1656). 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -21.1%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.9%, MDD -90.4%, Sharpe 0.31, 65% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 24.1%p higher than buy and hold, while drawdown improves by 8.4%p (CAGR 0.1%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=65, slow=115 |
2.9% | -90.4% | 0.31 | 0.03 | 1.3x | 16 | 65% |
| Donchian 채널 돌파 entryN=49, exitN=42 |
1.8% | -13.2% | 0.31 | 0.13 | 1.2x | 18 | 64% |
| ROC 모멘텀 n=38, threshold=0.14 |
0.1% | -0.5% | 0.28 | 0.20 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=14, mult=2.8 |
0.8% | -11.7% | 0.18 | 0.07 | 1.1x | 20 | 44% |
| ADX / DI 방향성 period=27, threshold=20 |
0.3% | -6.3% | 0.10 | 0.05 | 1.0x | 20 | 14% |
| Supertrend period=26, mult=5 |
0.5% | -13.6% | 0.10 | 0.03 | 1.0x | 22 | 73% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
0.1% | -12.1% | 0.04 | 0.00 | 1.0x | 26 | 29% |
| EMA 크로스오버 fast=53, slow=84 |
-20.8% | -90.5% | -0.25 | -0.23 | 0.1x | 12 | 58% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-24.3% | -92.2% | -0.38 | -0.26 | 0.1x | 46 | 56% |
| MACD fast=19, slow=52, signal=16 |
-4.3% | -35.9% | -0.72 | -0.12 | 0.7x | 80 | 54% |
| Buy and hold | -21.1% | -98.9% | 0.27 | -0.21 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 65-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 65-day average falls below the 115-day average