Trend-Following Backtester · Guide · backtest 한국어
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Yuanta US 20+ Year AAA-A Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta US 20+ Year AAA-A Corporate Bond ETF. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -6.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.0%, drawdown -44.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -6.8%, Sharpe 0.45, 5% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.5%, MDD -11.7%, exposure 12%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 1.1%, MDD -6.8%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=24 |
1.1% | -6.8% | 0.45 | 0.16 | 1.1x | 2 | 5% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
1.5% | -11.7% | 0.35 | 0.12 | 1.1x | 6 | 12% |
| ROC 모멘텀 n=123, threshold=0.11 |
0.3% | -11.8% | 0.14 | 0.03 | 1.0x | 8 | 6% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=3.7 |
0.4% | -22.9% | 0.10 | 0.02 | 1.0x | 22 | 22% |
| EMA 크로스오버 fast=75, slow=151 |
-0.3% | -26.7% | 0.01 | -0.01 | 1.0x | 10 | 35% |
| Donchian 채널 돌파 entryN=84, exitN=14 |
-0.1% | -17.6% | 0.01 | -0.00 | 1.0x | 20 | 16% |
| SMA 크로스오버 fast=46, slow=186 |
-1.0% | -26.7% | -0.06 | -0.04 | 0.9x | 12 | 39% |
| Supertrend period=22, mult=4.2 |
-2.3% | -32.2% | -0.27 | -0.07 | 0.8x | 58 | 42% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-2.6% | -32.6% | -0.30 | -0.08 | 0.8x | 54 | 48% |
| MACD fast=16, slow=39, signal=19 |
-4.2% | -36.4% | -0.48 | -0.11 | 0.7x | 84 | 48% |
| Buy and hold | -4.0% | -44.9% | -0.24 | -0.09 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)