Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BlackRock (Australia) iShares MSCI Japan ETF backtest
10 trend-following strategies were compared on the full daily history of BlackRock (Australia) iShares MSCI Japan ETF. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 4.1%, drawdown -75.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -2.5%, Sharpe 0.30, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.7%, MDD -75.3%, exposure 60%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=45 |
0.4% | -2.5% | 0.30 | 0.16 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=52, slow=207 |
5.7% | -75.3% | 0.25 | 0.08 | 2.8x | 13 | 60% |
| ROC 모멘텀 Hold-like · Exposure 100% n=11, threshold=-0.15 |
4.2% | -75.3% | 0.24 | 0.06 | 2.1x | 5 | 100% |
| SMA 크로스오버 fast=29, slow=217 |
4.7% | -75.3% | 0.24 | 0.06 | 2.3x | 23 | 60% |
| Donchian 채널 돌파 entryN=14, exitN=68 |
-0.5% | -75.3% | 0.18 | -0.01 | 0.9x | 57 | 82% |
| Supertrend period=15, mult=4.5 |
-2.1% | -76.0% | 0.15 | -0.03 | 0.7x | 88 | 59% |
| 볼린저 밴드 돌파 n=49, k=1.7 |
-4.3% | -78.9% | 0.11 | -0.05 | 0.4x | 118 | 39% |
| MACD fast=16, slow=29, signal=19 |
-6.7% | -85.7% | 0.08 | -0.08 | 0.3x | 248 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=1.5 |
-7.3% | -85.7% | 0.07 | -0.08 | 0.2x | 162 | 43% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-10.7% | -88.5% | -0.33 | -0.12 | 0.1x | 150 | 54% |
| Buy and hold | 4.1% | -75.3% | 0.24 | 0.05 | 2.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 45
- Sell — Sell when direction flips or the trend weakens (ADX < 45)