Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Japan Value ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Japan Value ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -16.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.0%, drawdown -31.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -16.1%, Sharpe 0.71, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 15.4%p (CAGR 9.5%, MDD -16.1%, exposure 65%).
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=51, slow=113 |
9.5% | -16.1% | 0.71 | 0.59 | 2.0x | 13 | 65% |
| EMA 크로스오버 fast=74, slow=133 |
8.7% | -16.5% | 0.64 | 0.53 | 1.9x | 7 | 68% |
| ROC 모멘텀 n=111, threshold=-0.06 |
8.9% | -22.9% | 0.63 | 0.39 | 1.9x | 27 | 79% |
| Donchian 채널 돌파 entryN=98, exitN=69 |
4.6% | -31.4% | 0.41 | 0.15 | 1.4x | 11 | 59% |
| 볼린저 밴드 돌파 n=42, k=3.1 |
1.0% | -8.3% | 0.26 | 0.12 | 1.1x | 4 | 6% |
| Supertrend period=29, mult=4.2 |
0.5% | -30.2% | 0.10 | 0.02 | 1.0x | 59 | 62% |
| ADX / DI 방향성 period=36, threshold=25 |
-0.0% | -3.9% | -0.02 | -0.01 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=2.9 |
-1.1% | -24.3% | -0.06 | -0.05 | 0.9x | 38 | 39% |
| MACD fast=19, slow=49, signal=19 |
-3.0% | -39.6% | -0.19 | -0.08 | 0.8x | 75 | 48% |
| Parabolic SAR step=0.035, maxStep=0.24 |
-4.5% | -40.6% | -0.28 | -0.11 | 0.7x | 183 | 53% |
| Buy and hold | 9.0% | -31.4% | 0.56 | 0.29 | 1.9x | 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 51-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 51-day average falls below the 113-day average