Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco CurrencyShares Japanese Yen Trust backtest
10 trend-following strategies were compared on the full daily history of Invesco CurrencyShares Japanese Yen Trust. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.0%, MDD -5.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.9%, drawdown -57.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.2%, MDD -19.4%, Sharpe 0.07, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR -0.0%, MDD -5.7%, exposure 2%).
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=60, exitN=49 |
0.2% | -19.4% | 0.07 | 0.01 | 1.0x | 36 | 39% |
| ADX / DI 방향성 period=45, threshold=19 |
-0.0% | -16.5% | 0.01 | -0.00 | 1.0x | 14 | 8% |
| 볼린저 밴드 돌파 n=20, k=3.3 |
-0.0% | -5.7% | 0.01 | -0.00 | 1.0x | 8 | 2% |
| EMA 크로스오버 fast=52, slow=219 |
-0.3% | -33.7% | -0.00 | -0.01 | 1.0x | 24 | 42% |
| SMA 크로스오버 fast=44, slow=79 |
-0.6% | -31.1% | -0.05 | -0.02 | 0.9x | 62 | 45% |
| ROC 모멘텀 n=60, threshold=0.11 |
-0.3% | -13.1% | -0.09 | -0.02 | 0.9x | 20 | 2% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=3.6 |
-1.6% | -36.1% | -0.25 | -0.04 | 0.7x | 58 | 20% |
| Supertrend period=21, mult=4.9 |
-3.2% | -57.7% | -0.39 | -0.06 | 0.5x | 95 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.7% | -67.0% | -0.60 | -0.07 | 0.4x | 161 | 48% |
| MACD fast=16, slow=58, signal=18 |
-5.3% | -73.9% | -0.66 | -0.07 | 0.3x | 215 | 51% |
| Buy and hold | -1.9% | -57.0% | -0.14 | -0.03 | 0.7x | 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 60 days
- Sell — Sell when price breaks below the lowest low of the last 49 days