Trend-Following Backtester · Guide · backtest 한국어
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Janus Henderson AAA CLO ETF backtest
10 trend-following strategies were compared on the full daily history of Janus Henderson AAA CLO ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -4.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.7%, MDD -7.7%, Sharpe -0.31, 93% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.2%, MDD -1.0%, exposure 3%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=104, threshold=-0.03 |
-0.7% | -7.7% | -0.31 | -0.09 | 1.0x | 7 | 93% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
-0.2% | -1.0% | -0.33 | -0.16 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=48, slow=218 |
-0.5% | -3.6% | -0.36 | -0.14 | 1.0x | 8 | 51% |
| Donchian 채널 돌파 entryN=28, exitN=64 |
-0.8% | -5.0% | -0.48 | -0.17 | 1.0x | 9 | 59% |
| ADX / DI 방향성 period=38, threshold=30 |
-0.5% | -3.6% | -0.53 | -0.15 | 1.0x | 4 | 30% |
| EMA 크로스오버 fast=48, slow=79 |
-1.2% | -8.4% | -0.72 | -0.14 | 0.9x | 15 | 63% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=15, mult=3.9 |
-0.5% | -2.9% | -1.03 | -0.18 | 1.0x | 4 | 0% |
| Supertrend period=24, mult=5 |
-2.2% | -12.3% | -1.31 | -0.18 | 0.9x | 22 | 40% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.7% | -19.8% | -1.85 | -0.19 | 0.8x | 44 | 50% |
| MACD fast=35, slow=67, signal=37 |
-4.6% | -23.8% | -2.24 | -0.19 | 0.8x | 45 | 40% |
| Buy and hold | 0.1% | -4.1% | 0.05 | 0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 104-day return is greater than -3%
- Sell — Sell when the 104-day return drops to -3% or below