Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Short Maturity Municipal Bond Active ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Short Maturity Municipal Bond Active ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR -0.0%, drawdown -2.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -3.8%, Sharpe -0.06, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -1.1%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=83, threshold=-0.02 |
-0.1% | -3.8% | -0.06 | -0.03 | 1.0x | 3 | 97% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=8, mult=3.6 |
-0.1% | -2.0% | -0.33 | -0.07 | 1.0x | 4 | 2% |
| ADX / DI 방향성 period=39, threshold=39 |
-0.1% | -1.1% | -0.40 | -0.09 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
-0.1% | -1.3% | -0.45 | -0.09 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=41, slow=210 |
-0.9% | -9.3% | -0.70 | -0.09 | 0.9x | 16 | 59% |
| Donchian 채널 돌파 entryN=107, exitN=50 |
-0.7% | -7.7% | -0.70 | -0.09 | 0.9x | 12 | 34% |
| Supertrend period=29, mult=4 |
-1.4% | -14.7% | -0.93 | -0.09 | 0.9x | 28 | 66% |
| EMA 크로스오버 fast=43, slow=142 |
-1.3% | -13.4% | -1.01 | -0.09 | 0.9x | 24 | 60% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.1% | -30.2% | -1.89 | -0.10 | 0.7x | 70 | 39% |
| MACD fast=17, slow=54, signal=18 |
-8.7% | -64.7% | -3.96 | -0.13 | 0.4x | 190 | 50% |
| Buy and hold | -0.0% | -2.8% | 0.00 | -0.00 | 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 83-day return is greater than -2%
- Sell — Sell when the 83-day return drops to -2% or below