Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares Core Composite Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Composite Bond ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -4.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.1%, drawdown -18.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -4.7%, Sharpe 0.12, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 13.7%p (CAGR 0.2%, MDD -4.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=50, threshold=22 |
0.2% | -4.7% | 0.12 | 0.04 | 1.0x | 12 | 15% |
| ROC 모멘텀 Hold-like · Exposure 96% n=80, threshold=-0.05 |
-0.1% | -15.8% | 0.00 | -0.01 | 1.0x | 5 | 96% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=3.8 |
-0.0% | -3.4% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| 볼린저 밴드 돌파 n=32, k=3.4 |
-0.1% | -3.5% | -0.07 | -0.02 | 1.0x | 4 | 2% |
| EMA 크로스오버 fast=100, slow=225 |
-0.3% | -12.2% | -0.08 | -0.03 | 1.0x | 14 | 52% |
| SMA 크로스오버 fast=52, slow=214 |
-0.6% | -12.6% | -0.17 | -0.05 | 0.9x | 22 | 53% |
| Donchian 채널 돌파 entryN=75, exitN=55 |
-0.8% | -15.3% | -0.24 | -0.05 | 0.9x | 26 | 42% |
| Supertrend period=11, mult=4.9 |
-2.6% | -35.0% | -0.79 | -0.07 | 0.7x | 58 | 44% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.5% | -51.3% | -1.25 | -0.09 | 0.5x | 116 | 52% |
| MACD fast=19, slow=46, signal=19 |
-6.4% | -61.9% | -1.75 | -0.10 | 0.4x | 162 | 51% |
| Buy and hold | 0.1% | -18.4% | 0.04 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 50-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)