Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Schroder Japan Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Schroder Japan Trust PLC. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -20.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.5%, drawdown -63.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.9%, MDD -20.4%, Sharpe 0.51, 14% exposure.
CAGR reference leader: Supertrend — CAGR 4.3%, MDD -39.6%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 43.4%p (CAGR 3.9%, MDD -20.4%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=2.7 |
3.9% | -20.4% | 0.51 | 0.19 | 3.5x | 90 | 14% |
| Supertrend period=10, mult=4.6 |
4.3% | -39.6% | 0.35 | 0.11 | 3.8x | 135 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=3.1 |
3.2% | -28.0% | 0.34 | 0.11 | 2.8x | 84 | 26% |
| EMA 크로스오버 fast=25, slow=161 |
4.1% | -44.9% | 0.33 | 0.09 | 3.6x | 65 | 55% |
| Donchian 채널 돌파 entryN=130, exitN=45 |
3.2% | -47.7% | 0.32 | 0.07 | 2.7x | 51 | 33% |
| SMA 크로스오버 fast=18, slow=141 |
3.8% | -43.0% | 0.32 | 0.09 | 3.3x | 85 | 54% |
| ADX / DI 방향성 period=26, threshold=20 |
2.6% | -33.4% | 0.30 | 0.08 | 2.3x | 128 | 22% |
| ROC 모멘텀 n=122, threshold=-0.05 |
2.1% | -56.6% | 0.20 | 0.04 | 1.9x | 223 | 69% |
| MACD fast=18, slow=22, signal=18 |
-0.6% | -68.2% | 0.04 | -0.01 | 0.8x | 432 | 52% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-1.1% | -69.2% | 0.01 | -0.02 | 0.7x | 704 | 53% |
| Buy and hold | 4.5% | -63.8% | 0.30 | 0.07 | 4.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 23-day middle average