Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core Canadian Universe Bond Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Canadian Universe Bond Index ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -24.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.14, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 23.7%p (CAGR 0.1%, MDD -0.5%, exposure 0%).
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=18, threshold=0.09 |
0.1% | -0.5% | 0.14 | 0.11 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=3.6 |
0.0% | -3.8% | 0.02 | 0.00 | 1.0x | 4 | 1% |
| SMA 크로스오버 fast=59, slow=213 |
-0.2% | -16.2% | -0.03 | -0.01 | 0.9x | 32 | 56% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-0.0% | -2.1% | -0.07 | -0.02 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=52, slow=201 |
-0.8% | -24.4% | -0.16 | -0.03 | 0.8x | 40 | 57% |
| Donchian 채널 돌파 entryN=9, exitN=131 |
-1.1% | -28.4% | -0.18 | -0.04 | 0.8x | 70 | 89% |
| ADX / DI 방향성 period=39, threshold=23 |
-0.2% | -5.4% | -0.19 | -0.03 | 1.0x | 12 | 2% |
| Supertrend period=23, mult=4.5 |
-2.4% | -47.5% | -0.61 | -0.05 | 0.5x | 126 | 49% |
| MACD fast=45, slow=68, signal=34 |
-2.8% | -52.4% | -0.66 | -0.05 | 0.5x | 140 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.0% | -65.8% | -0.96 | -0.06 | 0.3x | 210 | 50% |
| Buy and hold | 0.1% | -24.2% | 0.04 | 0.00 | 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 18-day return is greater than 9%
- Sell — Sell when the 18-day return drops to 9% or below