Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares J.P. Morgan USD Emerging Markets Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares J.P. Morgan USD Emerging Markets Bond ETF. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -2.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.4%, drawdown -37.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -5.4%, Sharpe 0.14, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 0.0%, MDD -2.1%, exposure 1%).
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=13, k=2.7 |
0.2% | -5.4% | 0.14 | 0.03 | 1.0x | 12 | 3% |
| ROC 모멘텀 n=112, threshold=0.22 |
0.1% | -2.4% | 0.07 | 0.02 | 1.0x | 8 | 0% |
| ADX / DI 방향성 period=43, threshold=26 |
0.0% | -2.1% | 0.05 | 0.02 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=3.8 |
-0.0% | -11.8% | 0.01 | -0.00 | 1.0x | 50 | 28% |
| Supertrend period=22, mult=3.8 |
-0.4% | -28.9% | -0.02 | -0.01 | 0.9x | 114 | 60% |
| Donchian 채널 돌파 entryN=43, exitN=67 |
-0.5% | -24.5% | -0.04 | -0.02 | 0.9x | 48 | 60% |
| EMA 크로스오버 fast=18, slow=214 |
-0.4% | -27.8% | -0.05 | -0.02 | 0.9x | 31 | 58% |
| SMA 크로스오버 fast=12, slow=143 |
-0.8% | -32.8% | -0.11 | -0.02 | 0.9x | 52 | 53% |
| MACD fast=16, slow=39, signal=19 |
-2.4% | -47.6% | -0.32 | -0.05 | 0.6x | 204 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.0% | -54.0% | -0.39 | -0.05 | 0.6x | 160 | 55% |
| Buy and hold | -0.4% | -37.4% | 0.02 | -0.01 | 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 13-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 13-day middle average