Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core U.S. Aggregate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core U.S. Aggregate Bond ETF. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -23.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.1%, Sharpe 0.19, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 0.0%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=25 |
0.1% | -2.1% | 0.19 | 0.04 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=49, threshold=0.11 |
0.0% | -0.5% | 0.10 | 0.04 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=10, mult=3.7 |
-0.0% | -2.6% | -0.06 | -0.01 | 1.0x | 4 | 1% |
| SMA 크로스오버 fast=54, slow=191 |
-0.4% | -12.1% | -0.09 | -0.03 | 0.9x | 28 | 53% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
-0.0% | -1.9% | -0.13 | -0.02 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=22, slow=151 |
-0.6% | -18.0% | -0.14 | -0.03 | 0.9x | 44 | 54% |
| Supertrend period=29, mult=5 |
-0.8% | -20.3% | -0.21 | -0.04 | 0.8x | 68 | 52% |
| Donchian 채널 돌파 entryN=158, exitN=74 |
-0.7% | -14.7% | -0.25 | -0.05 | 0.9x | 26 | 36% |
| MACD fast=23, slow=55, signal=49 |
-2.4% | -43.4% | -0.68 | -0.06 | 0.6x | 136 | 48% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-4.4% | -63.9% | -1.22 | -0.07 | 0.4x | 198 | 52% |
| Buy and hold | -0.2% | -23.4% | -0.02 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)