Trend-Following Backtester · Guide · backtest 한국어
etf · US
John Hancock Multifactor Emerging Markets ETF backtest
10 trend-following strategies were compared on the full daily history of John Hancock Multifactor Emerging Markets ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.4%, MDD -18.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -35.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -22.4%, Sharpe 0.51, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 12.6%p (CAGR 5.4%, MDD -18.9%, exposure 56%).
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=50, exitN=77 |
6.3% | -22.4% | 0.51 | 0.28 | 1.6x | 13 | 61% |
| SMA 크로스오버 fast=26, slow=157 |
5.4% | -18.9% | 0.47 | 0.29 | 1.5x | 13 | 56% |
| EMA 크로스오버 fast=41, slow=64 |
4.1% | -21.6% | 0.36 | 0.19 | 1.4x | 17 | 61% |
| 볼린저 밴드 돌파 n=27, k=2.5 |
2.2% | -11.5% | 0.34 | 0.19 | 1.2x | 18 | 15% |
| ROC 모멘텀 n=145, threshold=0.11 |
2.6% | -21.3% | 0.30 | 0.12 | 1.2x | 41 | 27% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=2.6 |
1.0% | -28.2% | 0.15 | 0.04 | 1.1x | 44 | 42% |
| ADX / DI 방향성 period=24, threshold=27 |
0.2% | -5.8% | 0.07 | 0.03 | 1.0x | 2 | 1% |
| MACD fast=16, slow=57, signal=18 |
-3.9% | -50.8% | -0.26 | -0.08 | 0.7x | 100 | 49% |
| Supertrend period=23, mult=4.2 |
-4.2% | -51.1% | -0.26 | -0.08 | 0.7x | 64 | 57% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-4.6% | -46.0% | -0.28 | -0.10 | 0.7x | 162 | 56% |
| Buy and hold | 5.4% | -35.0% | 0.36 | 0.15 | 1.5x | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 77 days