Trend-Following Backtester · Guide · backtest 한국어
etf · JP
BlackRock (Japan) iShares Core MSCI Em. Mkts. IMI ETF (1658) backtest
10 trend-following strategies were compared on the full daily history of BlackRock (Japan) iShares Core MSCI Em. Mkts. IMI ETF (1658). 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -43.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -18.4%, Sharpe 0.60, 40% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=90, exitN=32 |
6.5% | -18.4% | 0.60 | 0.35 | 1.7x | 12 | 40% |
| ROC 모멘텀 n=137, threshold=0.16 |
5.1% | -11.8% | 0.56 | 0.43 | 1.5x | 12 | 20% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
4.0% | -24.2% | 0.41 | 0.17 | 1.4x | 40 | 41% |
| EMA 크로스오버 fast=53, slow=66 |
4.9% | -28.4% | 0.41 | 0.17 | 1.5x | 19 | 56% |
| SMA 크로스오버 fast=35, slow=77 |
3.5% | -29.4% | 0.31 | 0.12 | 1.4x | 35 | 55% |
| Supertrend period=15, mult=4.8 |
3.1% | -43.8% | 0.30 | 0.07 | 1.3x | 32 | 57% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=27, mult=2.7 |
2.5% | -22.4% | 0.28 | 0.11 | 1.2x | 34 | 38% |
| ADX / DI 방향성 period=23, threshold=30 |
0.4% | -13.7% | 0.11 | 0.03 | 1.0x | 12 | 6% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.4% | -46.3% | -0.12 | -0.05 | 0.8x | 122 | 58% |
| MACD fast=6, slow=23, signal=15 |
-3.4% | -50.2% | -0.23 | -0.07 | 0.7x | 194 | 49% |
| Buy and hold | 9.0% | -43.4% | 0.53 | 0.21 | 2.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 90 days
- Sell — Sell when price breaks below the lowest low of the last 32 days