Trend-Following Backtester · Guide · backtest 한국어
etf · US
Janus Henderson Short Duration Income ETF backtest
10 trend-following strategies were compared on the full daily history of Janus Henderson Short Duration Income ETF. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -0.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.3%, drawdown -6.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.3%, MDD -7.2%, Sharpe -0.15, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -0.6%, exposure 5%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by -1.0%p (CAGR -0.1%, MDD -0.6%, exposure 5%).
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 Hold-like · Exposure 99% n=5, threshold=-0.01 |
-0.3% | -7.2% | -0.15 | -0.04 | 1.0x | 7 | 99% |
| ADX / DI 방향성 period=51, threshold=36 |
-0.1% | -0.6% | -0.17 | -0.09 | 1.0x | 2 | 5% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
-0.1% | -1.1% | -0.30 | -0.09 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=17, mult=3.8 |
-0.1% | -1.1% | -0.31 | -0.10 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=33, slow=267 |
-0.4% | -5.5% | -0.35 | -0.07 | 1.0x | 8 | 42% |
| EMA 크로스오버 fast=50, slow=207 |
-0.6% | -7.1% | -0.54 | -0.09 | 0.9x | 10 | 42% |
| Donchian 채널 돌파 entryN=45, exitN=105 |
-0.8% | -7.9% | -0.59 | -0.10 | 0.9x | 14 | 53% |
| Supertrend period=10, mult=5 |
-1.9% | -17.0% | -1.25 | -0.11 | 0.8x | 28 | 35% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-3.5% | -29.4% | -1.93 | -0.12 | 0.7x | 66 | 45% |
| MACD fast=24, slow=54, signal=30 |
-3.9% | -31.8% | -2.04 | -0.12 | 0.7x | 71 | 49% |
| Buy and hold | -0.3% | -6.2% | -0.15 | -0.05 | 1.0x | 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 5-day return is greater than -1%
- Sell — Sell when the 5-day return drops to -1% or below