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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -15.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -1.5%, Sharpe 0.16, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.1%, MDD -6.6%, exposure 56%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=49, threshold=23 |
0.1% | -1.5% | 0.16 | 0.05 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=45, slow=233 |
0.1% | -6.6% | 0.05 | 0.01 | 1.0x | 20 | 56% |
| ROC 모멘텀 Hold-like · Exposure 99% n=21, threshold=-0.05 |
0.1% | -15.5% | 0.04 | 0.00 | 1.0x | 3 | 99% |
| Donchian 채널 돌파 entryN=66, exitN=75 |
-0.2% | -10.3% | -0.05 | -0.02 | 1.0x | 28 | 60% |
| EMA 크로스오버 fast=58, slow=180 |
-0.3% | -11.1% | -0.10 | -0.03 | 0.9x | 26 | 56% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=4 |
-0.2% | -5.6% | -0.20 | -0.04 | 1.0x | 12 | 6% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
-0.1% | -2.6% | -0.25 | -0.04 | 1.0x | 4 | 1% |
| Supertrend period=27, mult=4.6 |
-0.8% | -21.7% | -0.25 | -0.03 | 0.9x | 56 | 54% |
| MACD fast=65, slow=73, signal=64 |
-0.8% | -24.6% | -0.28 | -0.03 | 0.9x | 64 | 49% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-3.5% | -51.7% | -1.15 | -0.07 | 0.5x | 164 | 50% |
| Buy and hold | 0.1% | -15.5% | 0.05 | 0.01 | 1.0x | 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, 49-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)