Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iShares S&P 500 JPY Hedged ETF Units backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 JPY Hedged ETF Units. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.7%, MDD -9.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -23.3%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -16.5%, Sharpe 0.72, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 30.4%p higher than buy and hold, while drawdown improves by 82.0%p (CAGR 4.7%, MDD -9.1%, exposure 49%).
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=79, exitN=67 |
7.1% | -16.5% | 0.72 | 0.43 | 1.5x | 9 | 65% |
| SMA 크로스오버 fast=7, slow=151 |
5.7% | -20.1% | 0.59 | 0.28 | 1.4x | 17 | 66% |
| EMA 크로스오버 fast=7, slow=184 |
4.7% | -9.1% | 0.58 | 0.52 | 1.3x | 9 | 49% |
| ROC 모멘텀 n=68, threshold=0 |
5.8% | -26.5% | 0.58 | 0.22 | 1.4x | 39 | 69% |
| Supertrend period=18, mult=5 |
4.9% | -33.4% | 0.47 | 0.15 | 1.3x | 31 | 70% |
| MACD fast=18, slow=70, signal=18 |
3.4% | -21.3% | 0.37 | 0.16 | 1.2x | 54 | 55% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
1.2% | -11.1% | 0.20 | 0.11 | 1.1x | 20 | 39% |
| ADX / DI 방향성 period=29, threshold=11 |
0.4% | -15.4% | 0.09 | 0.03 | 1.0x | 52 | 46% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=3.7 |
0.2% | -14.6% | 0.06 | 0.01 | 1.0x | 26 | 24% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-32.9% | -93.1% | -0.42 | -0.35 | 0.1x | 44 | 59% |
| Buy and hold | -23.3% | -98.6% | 0.36 | -0.24 | 0.2x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 67 days