Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck J. P. Morgan EM Local Currency Bond ET backtest
10 trend-following strategies were compared on the full daily history of VanEck J. P. Morgan EM Local Currency Bond ET. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.3%, drawdown -59.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -3.7%, Sharpe 0.18, 4% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 56.2%p (CAGR 0.0%, MDD -0.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=3.2 |
0.3% | -3.7% | 0.18 | 0.09 | 1.1x | 10 | 4% |
| ROC 모멘텀 n=39, threshold=0.12 |
0.0% | -0.9% | 0.14 | 0.05 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=41, exitN=29 |
-1.0% | -24.1% | -0.16 | -0.04 | 0.9x | 52 | 41% |
| ADX / DI 방향성 period=28, threshold=31 |
-0.1% | -1.6% | -0.18 | -0.03 | 1.0x | 2 | 0% |
| Supertrend period=19, mult=4.2 |
-1.3% | -27.6% | -0.18 | -0.05 | 0.8x | 73 | 50% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=8, mult=3.9 |
-0.2% | -4.9% | -0.19 | -0.04 | 1.0x | 8 | 2% |
| SMA 크로스오버 fast=16, slow=96 |
-1.2% | -26.6% | -0.19 | -0.05 | 0.8x | 44 | 45% |
| EMA 크로스오버 fast=34, slow=46 |
-1.7% | -30.5% | -0.27 | -0.06 | 0.8x | 48 | 46% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.2% | -44.8% | -0.48 | -0.07 | 0.6x | 130 | 51% |
| MACD fast=19, slow=47, signal=22 |
-4.8% | -55.0% | -0.70 | -0.09 | 0.5x | 146 | 48% |
| Buy and hold | -4.3% | -59.8% | -0.38 | -0.07 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 29-day middle average