Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Intermediate Government/Credit Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Intermediate Government/Credit Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -15.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -12.2%, Sharpe 0.06, 93% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=139, threshold=-0.05 |
0.2% | -12.2% | 0.06 | 0.01 | 1.0x | 15 | 93% |
| SMA 크로스오버 fast=50, slow=198 |
0.1% | -6.9% | 0.04 | 0.01 | 1.0x | 20 | 57% |
| ADX / DI 방향성 period=39, threshold=26 |
-0.0% | -1.5% | -0.03 | -0.01 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=71, exitN=75 |
-0.2% | -10.5% | -0.06 | -0.02 | 1.0x | 28 | 59% |
| EMA 크로스오버 fast=31, slow=127 |
-0.4% | -12.5% | -0.13 | -0.03 | 0.9x | 36 | 57% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=4 |
-0.3% | -6.8% | -0.25 | -0.04 | 0.9x | 14 | 7% |
| Supertrend period=15, mult=5 |
-0.8% | -22.9% | -0.27 | -0.03 | 0.9x | 48 | 56% |
| 볼린저 밴드 돌파 n=44, k=3.3 |
-0.2% | -5.5% | -0.30 | -0.04 | 1.0x | 8 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.7% | -53.7% | -1.22 | -0.07 | 0.5x | 168 | 51% |
| MACD fast=16, slow=52, signal=18 |
-5.5% | -67.1% | -1.76 | -0.08 | 0.3x | 228 | 48% |
| Buy and hold | 0.2% | -15.5% | 0.08 | 0.02 | 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 139-day return is greater than -5%
- Sell — Sell when the 139-day return drops to -5% or below