Trend-Following Backtester · Guide · backtest 한국어
etf · US
John Hancock Multifactor Mid Cap ETF backtest
10 trend-following strategies were compared on the full daily history of John Hancock Multifactor Mid Cap ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.8%, MDD -30.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -40.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -30.0%, Sharpe 0.79, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 10.7%p (CAGR 10.8%, MDD -30.0%, exposure 85%).
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=25, exitN=78 |
10.8% | -30.0% | 0.79 | 0.36 | 3.0x | 15 | 85% |
| EMA 크로스오버 fast=31, slow=113 |
7.9% | -22.1% | 0.67 | 0.36 | 2.3x | 13 | 76% |
| SMA 크로스오버 fast=10, slow=182 |
7.0% | -24.1% | 0.62 | 0.29 | 2.1x | 21 | 73% |
| Supertrend period=25, mult=5 |
6.1% | -19.8% | 0.55 | 0.31 | 1.9x | 35 | 70% |
| ROC 모멘텀 n=36, threshold=-0.04 |
6.7% | -32.4% | 0.53 | 0.21 | 2.0x | 79 | 85% |
| ADX / DI 방향성 period=38, threshold=23 |
1.2% | -10.6% | 0.36 | 0.11 | 1.1x | 10 | 13% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=29, mult=1.8 |
2.2% | -22.5% | 0.25 | 0.10 | 1.3x | 61 | 63% |
| MACD fast=31, slow=50, signal=24 |
1.5% | -32.8% | 0.19 | 0.05 | 1.2x | 92 | 51% |
| 볼린저 밴드 돌파 n=49, k=1 |
0.7% | -30.7% | 0.12 | 0.02 | 1.1x | 84 | 57% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.6% | -37.5% | 0.01 | -0.02 | 0.9x | 106 | 61% |
| Buy and hold | 10.8% | -40.7% | 0.63 | 0.27 | 3.0x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 78 days