Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core Canadian Corporate Bond Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Canadian Corporate Bond Index ETF. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.1%, drawdown -22.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -1.2%, Sharpe 0.25, 2% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.1%, MDD -2.9%, exposure 4%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 0.0%, MDD -0.6%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=33 |
0.1% | -1.2% | 0.25 | 0.09 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=24, threshold=0.1 |
0.0% | -0.6% | 0.18 | 0.08 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
0.1% | -2.9% | 0.15 | 0.04 | 1.0x | 4 | 4% |
| EMA 크로스오버 fast=28, slow=224 |
-0.4% | -18.0% | -0.08 | -0.02 | 0.9x | 20 | 52% |
| Donchian 채널 돌파 entryN=155, exitN=114 |
-0.5% | -16.0% | -0.12 | -0.03 | 0.9x | 16 | 47% |
| SMA 크로스오버 fast=37, slow=177 |
-1.0% | -26.7% | -0.23 | -0.04 | 0.8x | 28 | 52% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=14, mult=3.9 |
-0.9% | -19.2% | -0.45 | -0.05 | 0.8x | 28 | 11% |
| Supertrend period=18, mult=4.8 |
-1.7% | -28.8% | -0.45 | -0.06 | 0.7x | 69 | 50% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.6% | -41.1% | -0.70 | -0.06 | 0.6x | 108 | 55% |
| MACD fast=29, slow=49, signal=24 |
-4.1% | -56.1% | -1.06 | -0.07 | 0.4x | 164 | 51% |
| Buy and hold | -0.1% | -22.6% | 0.01 | -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, 39-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)