Trend-Following Backtester · Guide · backtest 한국어
etf · US
Goldman Sachs Ultra Short Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs Ultra Short Bond ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -3.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.0%, MDD -1.5%, Sharpe -0.02, 54% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=301 |
-0.0% | -1.5% | -0.02 | -0.02 | 1.0x | 4 | 54% |
| ROC 모멘텀 Hold-like · Exposure 98% n=22, threshold=-0.01 |
-0.1% | -3.2% | -0.06 | -0.03 | 1.0x | 3 | 98% |
| ADX / DI 방향성 period=49, threshold=35 |
-0.1% | -0.9% | -0.42 | -0.13 | 1.0x | 2 | 3% |
| Donchian 채널 돌파 entryN=63, exitN=89 |
-0.5% | -4.1% | -0.44 | -0.13 | 1.0x | 6 | 50% |
| 볼린저 밴드 돌파 n=49, k=3 |
-0.1% | -1.1% | -0.51 | -0.13 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=69, slow=121 |
-0.7% | -5.7% | -0.54 | -0.12 | 1.0x | 8 | 60% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=3.9 |
-0.2% | -1.3% | -0.62 | -0.13 | 1.0x | 2 | 0% |
| Supertrend period=26, mult=5 |
-2.8% | -19.3% | -2.05 | -0.15 | 0.8x | 38 | 41% |
| MACD fast=41, slow=74, signal=54 |
-3.7% | -24.8% | -2.36 | -0.15 | 0.8x | 50 | 35% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.3% | -28.0% | -2.59 | -0.15 | 0.7x | 56 | 50% |
| Buy and hold | 0.1% | -3.6% | 0.05 | 0.01 | 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 41-day average price crosses above the 301-day average
- Sell — Sell (to cash) when the 41-day average falls below the 301-day average