Trend-Following Backtester · Guide · backtest 한국어
etf · JP
BlackRock (Japan) iShares 20+ Year UST Bd. JPY Hed. ETF (2621) backtest
10 trend-following strategies were compared on the full daily history of BlackRock (Japan) iShares 20+ Year UST Bd. JPY Hed. ETF (2621). 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.7%, drawdown -60.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.0%, MDD -0.5%, Sharpe 0.03, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 60.1%p (CAGR 0.0%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=20 |
0.0% | -0.5% | 0.03 | 0.01 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
-0.2% | -7.0% | -0.04 | -0.03 | 1.0x | 4 | 7% |
| ROC 모멘텀 n=134, threshold=0.1 |
-0.2% | -2.0% | -0.22 | -0.09 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=12, mult=3.8 |
-1.8% | -14.7% | -0.40 | -0.12 | 0.9x | 10 | 10% |
| Supertrend period=8, mult=3 |
-4.9% | -29.6% | -0.51 | -0.17 | 0.7x | 56 | 39% |
| SMA 크로스오버 fast=38, slow=180 |
-2.9% | -19.7% | -0.58 | -0.15 | 0.8x | 6 | 15% |
| Donchian 채널 돌파 entryN=78, exitN=35 |
-3.2% | -20.6% | -0.62 | -0.16 | 0.8x | 10 | 15% |
| MACD fast=15, slow=43, signal=19 |
-6.7% | -38.7% | -0.65 | -0.17 | 0.7x | 54 | 45% |
| EMA 크로스오버 fast=17, slow=35 |
-6.5% | -36.5% | -0.78 | -0.18 | 0.7x | 30 | 31% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-7.8% | -40.0% | -0.85 | -0.19 | 0.6x | 44 | 42% |
| Buy and hold | -14.7% | -60.6% | -1.03 | -0.24 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)