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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.

Data 2019-04-17 ~ 2026-07-31daily bars 1,832 (7.3 years)Costs 0.5%Venue ARCXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 0.1%, drawdown -3.6%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -2.5%, Sharpe -0.08, 54% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR -0.0%, MDD -0.6%, exposure 1%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=99, slow=238
-0.1%-2.5%-0.08-0.041.0x654%
ROC 모멘텀
n=31, threshold=0.01
-0.0%-0.6%-0.08-0.041.0x21%
Donchian 채널 돌파
entryN=55, exitN=128
-0.3%-3.3%-0.27-0.101.0x452%
ADX / DI 방향성
period=44, threshold=36
-0.1%-0.9%-0.43-0.141.0x23%
볼린저 밴드 돌파
n=28, k=2.8
-0.2%-1.1%-0.55-0.141.0x21%
EMA 크로스오버
fast=59, slow=134
-0.7%-5.7%-0.56-0.121.0x861%
Keltner 채널 돌파
emaPeriod=12, atrPeriod=12, mult=3.8
-0.2%-1.3%-0.62-0.141.0x20%
Supertrend
period=9, mult=5
-2.8%-18.8%-2.08-0.150.8x3428%
MACD
fast=54, slow=88, signal=32
-3.7%-24.1%-2.34-0.150.8x4935%
Parabolic SAR
step=0.005, maxStep=0.24
-4.1%-26.7%-2.51-0.150.7x5350%
Buy and hold0.1%-3.6%0.070.021.0x1100%
1x 2020 2021 2022 2023 2024 2025 2026 ROC 모멘텀SMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -1% -3% -4% -5% 2020 2021 2022 2023 2024 2025 2026 Buy and holdROC 모멘텀SMA 크로스오버
SMA 크로스오버 maximum drawdown -2.5% (2020-04-09 → 2023-07-03), prior peak not yet recovered.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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