Trend-Following Backtester · Guide · backtest 한국어
etf · CH
iShares Core CHF Corporate Bond ETF (CH) backtest
10 trend-following strategies were compared on the full daily history of iShares Core CHF Corporate Bond ETF (CH). 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -0.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.3%, drawdown -16.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.2%, MDD -7.6%, Sharpe 0.08, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 8.4%p (CAGR -0.1%, MDD -0.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=77, slow=202 |
0.2% | -7.6% | 0.08 | 0.02 | 1.0x | 10 | 49% |
| ROC 모멘텀 n=134, threshold=-0.04 |
-0.3% | -12.2% | -0.07 | -0.02 | 1.0x | 9 | 90% |
| Donchian 채널 돌파 entryN=44, exitN=72 |
-0.2% | -9.1% | -0.09 | -0.03 | 1.0x | 14 | 59% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=11, mult=3.8 |
-0.0% | -2.3% | -0.09 | -0.02 | 1.0x | 4 | 4% |
| Supertrend period=27, mult=3.4 |
-0.4% | -9.0% | -0.13 | -0.04 | 1.0x | 22 | 52% |
| EMA 크로스오버 fast=76, slow=156 |
-0.4% | -12.0% | -0.15 | -0.03 | 1.0x | 10 | 49% |
| ADX / DI 방향성 period=37, threshold=37 |
-0.1% | -0.9% | -0.29 | -0.08 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=50, k=3.3 |
-0.2% | -2.3% | -0.46 | -0.08 | 1.0x | 4 | 2% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.8% | -31.3% | -1.08 | -0.09 | 0.7x | 78 | 56% |
| MACD fast=24, slow=51, signal=29 |
-5.7% | -52.1% | -2.13 | -0.11 | 0.5x | 128 | 50% |
| Buy and hold | -0.3% | -16.0% | -0.05 | -0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 77-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 77-day average falls below the 202-day average