Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Short Duration High Yield Muni Active ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Short Duration High Yield Muni Active ETF. 10 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 -1.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.5%, drawdown -26.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -2.3%, Sharpe 0.81, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR -0.1%, MDD -1.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=2.8 |
1.4% | -2.3% | 0.81 | 0.61 | 1.1x | 6 | 5% |
| ADX / DI 방향성 period=23, threshold=39 |
0.4% | -1.4% | 0.61 | 0.28 | 1.0x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=3.5 |
0.3% | -3.9% | 0.26 | 0.08 | 1.0x | 6 | 9% |
| Donchian 채널 돌파 entryN=112, exitN=38 |
0.3% | -3.6% | 0.15 | 0.08 | 1.0x | 4 | 18% |
| EMA 크로스오버 fast=19, slow=213 |
-0.1% | -6.7% | -0.03 | -0.02 | 1.0x | 6 | 29% |
| ROC 모멘텀 n=146, threshold=0.09 |
-0.1% | -1.2% | -0.10 | -0.06 | 1.0x | 4 | 2% |
| Supertrend period=21, mult=3.9 |
-1.0% | -10.4% | -0.21 | -0.10 | 0.9x | 28 | 60% |
| SMA 크로스오버 fast=55, slow=192 |
-0.7% | -7.2% | -0.21 | -0.10 | 1.0x | 6 | 38% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-1.9% | -19.5% | -0.41 | -0.10 | 0.9x | 81 | 48% |
| MACD fast=21, slow=39, signal=11 |
-2.2% | -12.8% | -0.47 | -0.17 | 0.9x | 58 | 44% |
| Buy and hold | -2.5% | -26.5% | -0.33 | -0.09 | 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 12-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 12-day middle average