Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Short Corporate Bond Index ETF backtest
10 trend-following strategies were compared on the full daily history of BMO Short 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 ROC 모멘텀 (CAGR -0.0%, MDD -0.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.5%, drawdown -18.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.0%, MDD -0.5%, Sharpe -0.05, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR -0.0%, 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=49, threshold=0.07 |
-0.0% | -0.5% | -0.05 | -0.02 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=57, k=3 |
-0.3% | -7.0% | -0.25 | -0.04 | 1.0x | 12 | 8% |
| Supertrend period=26, mult=4.7 |
-0.6% | -13.2% | -0.26 | -0.04 | 0.9x | 36 | 45% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=26, mult=4 |
-0.1% | -1.4% | -0.29 | -0.06 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=36, slow=219 |
-0.7% | -16.0% | -0.30 | -0.04 | 0.9x | 20 | 35% |
| Donchian 채널 돌파 entryN=80, exitN=73 |
-0.6% | -16.2% | -0.31 | -0.04 | 0.9x | 22 | 40% |
| ADX / DI 방향성 period=21, threshold=27 |
-0.2% | -3.5% | -0.32 | -0.06 | 1.0x | 10 | 3% |
| SMA 크로스오버 fast=29, slow=166 |
-0.8% | -18.9% | -0.35 | -0.04 | 0.9x | 26 | 41% |
| MACD fast=28, slow=81, signal=58 |
-3.5% | -43.9% | -1.40 | -0.08 | 0.6x | 96 | 44% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.6% | -45.1% | -1.52 | -0.08 | 0.5x | 114 | 48% |
| Buy and hold | -0.5% | -18.5% | -0.11 | -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 49-day return is greater than 7%
- Sell — Sell when the 49-day return drops to 7% or below