Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Floating Rate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Floating Rate Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -13.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -3.6%, Sharpe 0.05, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% n=20, threshold=-0.03 |
0.1% | -3.6% | 0.05 | 0.02 | 1.0x | 3 | 99% |
| ADX / DI 방향성 period=28, threshold=35 |
-0.1% | -1.1% | -0.38 | -0.07 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=48, slow=213 |
-0.6% | -10.2% | -0.39 | -0.06 | 0.9x | 17 | 68% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
-0.1% | -1.1% | -0.40 | -0.07 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=58, slow=218 |
-1.1% | -16.2% | -0.44 | -0.07 | 0.9x | 17 | 65% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=3.9 |
-0.1% | -1.4% | -0.45 | -0.07 | 1.0x | 2 | 0% |
| Supertrend period=26, mult=5 |
-1.7% | -23.2% | -0.71 | -0.07 | 0.8x | 43 | 60% |
| Donchian 채널 돌파 entryN=47, exitN=66 |
-1.1% | -17.3% | -0.74 | -0.06 | 0.8x | 29 | 67% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.6% | -43.0% | -2.12 | -0.08 | 0.6x | 117 | 53% |
| MACD fast=34, slow=49, signal=47 |
-3.7% | -43.9% | -2.19 | -0.08 | 0.6x | 107 | 47% |
| Buy and hold | 0.1% | -13.7% | 0.05 | 0.01 | 1.0x | 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 20-day return is greater than -3%
- Sell — Sell when the 20-day return drops to -3% or below