Trend-Following Backtester · Guide · backtest 한국어
etf · US
John Hancock Multifactor Developed International ETF backtest
10 trend-following strategies were compared on the full daily history of John Hancock Multifactor Developed International ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -23.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -38.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -23.3%, Sharpe 0.57, 75% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 6.4%, MDD -23.3%, exposure 75%).
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=48, exitN=74 |
6.4% | -23.3% | 0.57 | 0.27 | 1.8x | 15 | 75% |
| EMA 크로스오버 fast=47, slow=59 |
5.0% | -21.0% | 0.48 | 0.24 | 1.6x | 19 | 67% |
| SMA 크로스오버 fast=43, slow=85 |
4.8% | -21.7% | 0.48 | 0.22 | 1.6x | 21 | 61% |
| 볼린저 밴드 돌파 n=70, k=2.9 |
1.9% | -8.1% | 0.44 | 0.23 | 1.2x | 5 | 15% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=28, mult=1.3 |
2.3% | -18.8% | 0.28 | 0.12 | 1.2x | 67 | 56% |
| ADX / DI 방향성 period=41, threshold=27 |
0.4% | -3.6% | 0.27 | 0.12 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=116, threshold=-0.03 |
2.2% | -33.3% | 0.25 | 0.07 | 1.2x | 53 | 70% |
| Supertrend period=25, mult=4.5 |
1.5% | -29.8% | 0.19 | 0.05 | 1.2x | 49 | 67% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.6% | -32.5% | 0.11 | 0.02 | 1.1x | 83 | 61% |
| MACD fast=10, slow=47, signal=15 |
-3.1% | -33.3% | -0.27 | -0.09 | 0.7x | 150 | 49% |
| Buy and hold | 6.6% | -38.9% | 0.46 | 0.17 | 1.9x | 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 48 days
- Sell — Sell when price breaks below the lowest low of the last 74 days