Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares International Aggregate Bond Fund backtest
10 trend-following strategies were compared on the full daily history of iShares International Aggregate Bond Fund. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -1.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.1%, drawdown -15.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -1.7%, Sharpe 0.28, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 14.1%p (CAGR 0.2%, MDD -1.7%, exposure 2%).
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=34, threshold=33 |
0.2% | -1.7% | 0.28 | 0.09 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=126, threshold=-0.09 |
-0.4% | -15.7% | -0.07 | -0.03 | 1.0x | 3 | 95% |
| 볼린저 밴드 돌파 n=23, k=3.4 |
-0.1% | -2.8% | -0.07 | -0.03 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=56, slow=211 |
-0.5% | -8.5% | -0.14 | -0.06 | 0.9x | 14 | 54% |
| Donchian 채널 돌파 entryN=78, exitN=28 |
-0.8% | -12.9% | -0.24 | -0.06 | 0.9x | 24 | 33% |
| EMA 크로스오버 fast=57, slow=198 |
-1.0% | -10.6% | -0.30 | -0.10 | 0.9x | 16 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=4 |
-0.9% | -12.7% | -0.35 | -0.07 | 0.9x | 18 | 18% |
| Supertrend period=36, mult=3.4 |
-2.1% | -24.8% | -0.53 | -0.08 | 0.8x | 58 | 61% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.6% | -32.6% | -0.96 | -0.11 | 0.7x | 88 | 55% |
| MACD fast=28, slow=57, signal=25 |
-3.7% | -35.1% | -1.01 | -0.11 | 0.7x | 78 | 52% |
| Buy and hold | -0.1% | -15.9% | -0.01 | -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, 34-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)