Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Short Duration Bond Active ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Short Duration Bond Active ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.0%, drawdown -9.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.0%, MDD -3.5%, Sharpe -0.01, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.0%, MDD -1.1%, exposure 2%.
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 99% n=23, threshold=-0.02 |
-0.0% | -3.5% | -0.01 | -0.01 | 1.0x | 3 | 99% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
-0.0% | -1.1% | -0.05 | -0.02 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=55, slow=268 |
-0.2% | -5.0% | -0.19 | -0.05 | 1.0x | 8 | 52% |
| EMA 크로스오버 fast=47, slow=214 |
-0.3% | -5.4% | -0.22 | -0.05 | 1.0x | 10 | 56% |
| ADX / DI 방향성 period=27, threshold=33 |
-0.1% | -1.3% | -0.38 | -0.08 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=18, mult=3.6 |
-0.2% | -2.6% | -0.44 | -0.07 | 1.0x | 6 | 3% |
| Donchian 채널 돌파 entryN=104, exitN=64 |
-1.4% | -16.9% | -0.65 | -0.08 | 0.8x | 18 | 48% |
| Supertrend period=27, mult=5 |
-0.9% | -10.4% | -0.66 | -0.08 | 0.9x | 28 | 52% |
| MACD fast=48, slow=93, signal=54 |
-1.8% | -20.5% | -1.32 | -0.09 | 0.8x | 50 | 40% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.4% | -44.1% | -2.56 | -0.10 | 0.6x | 115 | 47% |
| Buy and hold | 0.0% | -9.7% | 0.03 | 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 23-day return is greater than -2%
- Sell — Sell when the 23-day return drops to -2% or below