Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Investment Grade Systematic Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Investment Grade Systematic Bond ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.5%, drawdown -26.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -3.1%, Sharpe 0.62, 7% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 0.1%, MDD -0.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=56, k=3 |
0.7% | -3.1% | 0.62 | 0.23 | 1.1x | 2 | 7% |
| ADX / DI 방향성 period=37, threshold=24 |
0.3% | -4.3% | 0.24 | 0.07 | 1.0x | 6 | 9% |
| ROC 모멘텀 n=77, threshold=0.12 |
0.1% | -0.6% | 0.19 | 0.12 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=52, exitN=30 |
-0.0% | -8.7% | 0.01 | -0.00 | 1.0x | 22 | 31% |
| SMA 크로스오버 fast=58, slow=288 |
-0.4% | -16.5% | -0.07 | -0.03 | 1.0x | 12 | 42% |
| Supertrend period=22, mult=4.6 |
-0.5% | -12.4% | -0.10 | -0.04 | 1.0x | 44 | 47% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=4 |
-0.3% | -10.4% | -0.11 | -0.03 | 1.0x | 20 | 18% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-0.6% | -14.5% | -0.13 | -0.04 | 1.0x | 36 | 48% |
| EMA 크로스오버 fast=23, slow=65 |
-1.0% | -15.0% | -0.23 | -0.07 | 0.9x | 26 | 45% |
| MACD fast=31, slow=53, signal=32 |
-1.7% | -16.5% | -0.39 | -0.11 | 0.9x | 48 | 45% |
| Buy and hold | -1.5% | -26.1% | -0.19 | -0.06 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 56-day average (3× volatility)
- Sell — Sell when the close falls back to the 56-day middle average