Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Aggregate Bond Index ETF backtest
10 trend-following strategies were compared on the full daily history of BMO Aggregate Bond Index ETF. 6 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
6 of 10 beat buy and hold (CAGR -0.7%, drawdown -25.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.16, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 24.9%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=4, threshold=0.06 |
0.1% | -0.5% | 0.16 | 0.13 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=73, slow=289 |
-0.2% | -17.7% | -0.01 | -0.01 | 1.0x | 14 | 44% |
| EMA 크로스오버 fast=79, slow=276 |
-0.2% | -17.1% | -0.03 | -0.01 | 1.0x | 12 | 46% |
| ADX / DI 방향성 period=25, threshold=38 |
-0.0% | -1.2% | -0.07 | -0.03 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-0.1% | -1.8% | -0.17 | -0.06 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=3.6 |
-0.1% | -1.6% | -0.36 | -0.06 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=146, exitN=86 |
-1.2% | -19.3% | -0.42 | -0.06 | 0.8x | 18 | 29% |
| MACD fast=31, slow=73, signal=39 |
-2.7% | -39.2% | -0.70 | -0.07 | 0.6x | 90 | 48% |
| Supertrend period=17, mult=4.7 |
-3.5% | -44.1% | -0.91 | -0.08 | 0.6x | 87 | 49% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.8% | -55.6% | -1.22 | -0.09 | 0.4x | 136 | 50% |
| Buy and hold | -0.7% | -25.4% | -0.08 | -0.03 | 0.9x | 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 4-day return is greater than 6%
- Sell — Sell when the 4-day return drops to 6% or below