Trend-Following Backtester · Guide · backtest 한국어
etf · SG
iShares Barclays USD Asia High Yield Bond Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Barclays USD Asia High Yield Bond Index ETF. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR -1.7%, MDD -25.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.7%, drawdown -62.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -1.0%, MDD -39.8%, Sharpe 0.07, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR -1.7%, MDD -25.6%, exposure 19%).
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=108, threshold=-0.11 |
-1.0% | -39.8% | 0.07 | -0.02 | 0.9x | 21 | 89% |
| EMA 크로스오버 fast=40, slow=120 |
-1.4% | -36.4% | 0.05 | -0.04 | 0.8x | 28 | 50% |
| ADX / DI 방향성 period=37, threshold=13 |
-1.6% | -42.6% | 0.04 | -0.04 | 0.8x | 72 | 52% |
| Donchian 채널 돌파 entryN=116, exitN=42 |
-1.7% | -25.6% | 0.02 | -0.07 | 0.8x | 14 | 19% |
| SMA 크로스오버 fast=37, slow=133 |
-3.1% | -51.9% | -0.03 | -0.06 | 0.6x | 40 | 49% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.5% | -59.2% | -0.04 | -0.06 | 0.6x | 104 | 47% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=12, mult=4 |
-1.0% | -26.6% | -0.12 | -0.04 | 0.9x | 14 | 9% |
| Supertrend period=15, mult=5 |
-5.7% | -65.2% | -0.18 | -0.09 | 0.4x | 59 | 53% |
| MACD fast=17, slow=54, signal=22 |
-6.4% | -63.8% | -0.19 | -0.10 | 0.4x | 139 | 50% |
| 볼린저 밴드 돌파 n=16, k=2.9 |
-1.6% | -33.0% | -0.21 | -0.05 | 0.8x | 12 | 3% |
| Buy and hold | -2.7% | -62.1% | 0.01 | -0.04 | 0.7x | 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 108-day return is greater than -11%
- Sell — Sell when the 108-day return drops to -11% or below