Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares J.P. Morgan EM High Yield Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares J.P. Morgan EM High Yield Bond ETF. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.4%, drawdown -43.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -1.9%, Sharpe 0.59, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.6%, MDD -10.1%, exposure 25%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 0.1%, MDD -0.6%, 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=39, threshold=32 |
0.5% | -1.9% | 0.59 | 0.28 | 1.1x | 2 | 3% |
| ROC 모멘텀 n=39, threshold=0.13 |
0.1% | -0.6% | 0.27 | 0.24 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
0.2% | -2.2% | 0.20 | 0.09 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=12, mult=3.5 |
0.6% | -10.1% | 0.18 | 0.06 | 1.1x | 32 | 25% |
| Donchian 채널 돌파 entryN=58, exitN=28 |
-0.2% | -13.3% | -0.03 | -0.01 | 1.0x | 36 | 34% |
| Supertrend period=9, mult=4.3 |
-0.3% | -18.1% | -0.05 | -0.02 | 1.0x | 62 | 50% |
| EMA 크로스오버 fast=7, slow=81 |
-0.8% | -22.0% | -0.15 | -0.04 | 0.9x | 67 | 52% |
| SMA 크로스오버 fast=13, slow=71 |
-0.9% | -26.2% | -0.16 | -0.03 | 0.9x | 58 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.1% | -26.0% | -0.18 | -0.04 | 0.9x | 116 | 56% |
| MACD fast=16, slow=41, signal=31 |
-2.1% | -29.3% | -0.37 | -0.07 | 0.7x | 125 | 49% |
| Buy and hold | -1.4% | -43.8% | -0.09 | -0.03 | 0.8x | 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, 39-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)