Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Broad USD High Yield Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Broad USD High Yield Corporate Bond ETF. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -0.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.5%, drawdown -23.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -1.7%, Sharpe 0.14, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR -0.1%, MDD -0.6%, exposure 0%).
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 n=50, threshold=0.12 |
0.1% | -1.7% | 0.14 | 0.05 | 1.0x | 4 | 0% |
| EMA 크로스오버 fast=21, slow=201 |
-0.0% | -5.9% | 0.01 | -0.00 | 1.0x | 8 | 51% |
| Donchian 채널 돌파 entryN=60, exitN=78 |
-0.4% | -8.8% | -0.07 | -0.04 | 1.0x | 12 | 54% |
| 볼린저 밴드 돌파 n=19, k=2.9 |
-0.2% | -4.8% | -0.18 | -0.04 | 1.0x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=28, mult=3.6 |
-0.3% | -3.2% | -0.28 | -0.08 | 1.0x | 6 | 4% |
| SMA 크로스오버 fast=35, slow=176 |
-1.5% | -15.9% | -0.37 | -0.10 | 0.9x | 16 | 53% |
| ADX / DI 방향성 period=38, threshold=25 |
-0.1% | -0.6% | -0.41 | -0.11 | 1.0x | 2 | 0% |
| Supertrend period=23, mult=4.8 |
-3.0% | -24.9% | -0.71 | -0.12 | 0.8x | 36 | 49% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-5.9% | -41.1% | -1.13 | -0.14 | 0.6x | 78 | 54% |
| MACD fast=17, slow=30, signal=16 |
-6.2% | -43.1% | -1.17 | -0.14 | 0.6x | 116 | 48% |
| Buy and hold | -1.5% | -23.8% | -0.14 | -0.06 | 0.9x | 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 50-day return is greater than 12%
- Sell — Sell when the 50-day return drops to 12% or below