Trend-Following Backtester · Guide · backtest 한국어
etf · JP
BlackRock (Japan) iShares S&P 500 ETF (1655) backtest
10 trend-following strategies were compared on the full daily history of BlackRock (Japan) iShares S&P 500 ETF (1655). 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -9.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.8%, drawdown -98.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.7%, MDD -17.3%, Sharpe 1.02, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.4%, MDD -23.2%, exposure 74%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 80.8%p (CAGR 1.4%, MDD -9.2%, exposure 12%).
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=51, k=1.2 |
11.7% | -17.3% | 1.02 | 0.67 | 2.7x | 39 | 61% |
| Donchian 채널 돌파 entryN=17, exitN=23 |
13.4% | -23.2% | 1.01 | 0.58 | 3.1x | 43 | 74% |
| SMA 크로스오버 fast=16, slow=37 |
12.7% | -18.5% | 0.93 | 0.68 | 2.9x | 39 | 72% |
| EMA 크로스오버 fast=17, slow=31 |
10.5% | -27.4% | 0.81 | 0.38 | 2.4x | 39 | 70% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=13, mult=1.3 |
7.7% | -23.8% | 0.67 | 0.32 | 1.9x | 53 | 65% |
| Supertrend period=23, mult=4.9 |
8.7% | -28.2% | 0.66 | 0.31 | 2.1x | 47 | 76% |
| ROC 모멘텀 n=29, threshold=-0.01 |
7.7% | -28.8% | 0.61 | 0.27 | 1.9x | 101 | 75% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.5% | -19.6% | 0.55 | 0.33 | 1.7x | 71 | 62% |
| MACD fast=21, slow=49, signal=14 |
3.6% | -23.1% | 0.35 | 0.16 | 1.4x | 96 | 53% |
| ADX / DI 방향성 period=36, threshold=18 |
1.4% | -9.2% | 0.34 | 0.15 | 1.1x | 14 | 12% |
| Buy and hold | -8.8% | -98.2% | 0.33 | -0.09 | 0.4x | 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 51-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 51-day middle average