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. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -1.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -22.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -1.3%, Sharpe 0.29, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 0.1%, MDD -1.2%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=15, threshold=0.1 |
0.2% | -1.3% | 0.29 | 0.19 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=23, threshold=34 |
0.1% | -1.2% | 0.23 | 0.08 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=27, k=3.1 |
-0.1% | -5.0% | -0.04 | -0.01 | 1.0x | 4 | 1% |
| EMA 크로스오버 fast=31, slow=212 |
-0.3% | -15.5% | -0.06 | -0.02 | 0.9x | 20 | 51% |
| SMA 크로스오버 fast=36, slow=184 |
-0.9% | -24.0% | -0.21 | -0.04 | 0.8x | 28 | 51% |
| Donchian 채널 돌파 entryN=114, exitN=78 |
-0.8% | -20.9% | -0.21 | -0.04 | 0.9x | 30 | 47% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=12, mult=3.5 |
-0.2% | -3.3% | -0.25 | -0.05 | 1.0x | 2 | 0% |
| Supertrend period=16, mult=4.8 |
-1.6% | -27.1% | -0.42 | -0.06 | 0.7x | 68 | 49% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.6% | -41.1% | -0.69 | -0.06 | 0.6x | 108 | 54% |
| MACD fast=26, slow=45, signal=30 |
-3.6% | -52.0% | -0.95 | -0.07 | 0.5x | 152 | 51% |
| Buy and hold | -0.2% | -22.6% | 0.00 | -0.01 | 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 15-day return is greater than 10%
- Sell — Sell when the 15-day return drops to 10% or below