Trend-Following Backtester · Guide · backtest 한국어
etf · US
Janus Henderson Mortgage-Backed Securities ETF backtest
10 trend-following strategies were compared on the full daily history of Janus Henderson Mortgage-Backed Securities ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -1.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.7%, drawdown -22.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.1%, MDD -1.0%, Sharpe 0.22, 7% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 0.1%, MDD -1.0%, exposure 7%).
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=56, k=3.2 |
0.1% | -1.0% | 0.22 | 0.12 | 1.0x | 2 | 7% |
| EMA 크로스오버 fast=58, slow=147 |
-0.3% | -7.5% | -0.10 | -0.04 | 1.0x | 8 | 41% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=3.5 |
-0.2% | -5.5% | -0.10 | -0.04 | 1.0x | 12 | 18% |
| SMA 크로스오버 fast=47, slow=190 |
-0.4% | -9.4% | -0.12 | -0.04 | 1.0x | 10 | 42% |
| Donchian 채널 돌파 entryN=36, exitN=34 |
-0.8% | -13.7% | -0.24 | -0.06 | 0.9x | 20 | 41% |
| ROC 모멘텀 Hold-like · Exposure 97% n=35, threshold=-0.07 |
-1.5% | -22.6% | -0.24 | -0.07 | 0.9x | 5 | 97% |
| Supertrend period=16, mult=4.7 |
-1.3% | -12.3% | -0.34 | -0.10 | 0.9x | 26 | 48% |
| ADX / DI 방향성 period=20, threshold=34 |
-0.2% | -1.3% | -0.45 | -0.13 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.0% | -28.0% | -1.03 | -0.14 | 0.7x | 70 | 48% |
| MACD fast=16, slow=51, signal=18 |
-5.7% | -37.1% | -1.47 | -0.15 | 0.6x | 86 | 44% |
| Buy and hold | -1.7% | -22.5% | -0.27 | -0.07 | 0.9x | 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 56-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 56-day middle average