Trend-Following Backtester · Guide · backtest 한국어
etf · NL
iShares II PLC - iShares EUR High Yield Corp Bond ESG SRI UCITS ETF Accum EUR backtest
10 trend-following strategies were compared on the full daily history of iShares II PLC - iShares EUR High Yield Corp Bond ESG SRI UCITS ETF Accum EUR. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.4%, MDD -3.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.3%, drawdown -24.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -3.8%, Sharpe 1.21, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 4.4%, MDD -3.8%, exposure 72%).
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=32, slow=184 |
4.4% | -3.8% | 1.21 | 1.18 | 1.3x | 5 | 72% |
| EMA 크로스오버 fast=30, slow=181 |
4.0% | -4.5% | 1.09 | 0.90 | 1.3x | 3 | 75% |
| ROC 모멘텀 n=110, threshold=-0.03 |
3.8% | -7.0% | 0.97 | 0.55 | 1.3x | 7 | 78% |
| 볼린저 밴드 돌파 n=98, k=2.8 |
2.0% | -2.3% | 0.96 | 0.88 | 1.1x | 4 | 35% |
| Donchian 채널 돌파 entryN=69, exitN=64 |
2.8% | -4.6% | 0.80 | 0.61 | 1.2x | 7 | 68% |
| Supertrend period=28, mult=4.9 |
3.3% | -8.1% | 0.68 | 0.41 | 1.2x | 17 | 77% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=28, mult=3.4 |
1.5% | -6.3% | 0.49 | 0.24 | 1.1x | 14 | 53% |
| ADX / DI 방향성 period=21, threshold=39 |
0.2% | -1.1% | 0.27 | 0.18 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.5% | -13.9% | -0.08 | -0.04 | 1.0x | 60 | 68% |
| MACD fast=20, slow=54, signal=19 |
-2.8% | -24.9% | -0.58 | -0.11 | 0.8x | 70 | 45% |
| Buy and hold | 2.3% | -24.7% | 0.31 | 0.09 | 1.2x | 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 32-day average price crosses above the 184-day average
- Sell — Sell (to cash) when the 32-day average falls below the 184-day average