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 5.1%, MDD -9.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -22.7%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -16.5%, Sharpe 0.75, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 30.1%p higher than buy and hold, while drawdown improves by 82.0%p (CAGR 5.1%, 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 |
7.4% | -16.5% | 0.75 | 0.45 | 1.6x | 9 | 65% |
| SMA 크로스오버 fast=7, slow=151 |
6.0% | -20.1% | 0.62 | 0.30 | 1.4x | 17 | 67% |
| EMA 크로스오버 fast=7, slow=184 |
5.1% | -9.1% | 0.61 | 0.56 | 1.4x | 9 | 49% |
| ROC 모멘텀 n=68, threshold=0 |
6.1% | -26.5% | 0.60 | 0.23 | 1.4x | 39 | 70% |
| Supertrend period=18, mult=5 |
5.3% | -33.4% | 0.49 | 0.16 | 1.4x | 31 | 70% |
| MACD fast=18, slow=70, signal=18 |
3.0% | -21.3% | 0.34 | 0.14 | 1.2x | 56 | 55% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
0.9% | -11.1% | 0.16 | 0.08 | 1.1x | 21 | 40% |
| ADX / DI 방향성 period=29, threshold=11 |
0.6% | -15.4% | 0.12 | 0.04 | 1.0x | 54 | 46% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=3.7 |
0.2% | -14.6% | 0.06 | 0.01 | 1.0x | 26 | 23% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-32.5% | -93.1% | -0.41 | -0.35 | 0.1x | 45 | 59% |
| Buy and hold | -22.7% | -98.6% | 0.36 | -0.23 | 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