Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Agency Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Agency Bond ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 0.2%, drawdown -14.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -9.8%, Sharpe 0.10, 93% exposure.
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 n=151, threshold=-0.05 |
0.2% | -9.8% | 0.10 | 0.02 | 1.0x | 3 | 93% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
0.0% | -2.1% | 0.07 | 0.02 | 1.0x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=22, mult=3.7 |
0.0% | -3.3% | 0.04 | 0.01 | 1.0x | 12 | 9% |
| SMA 크로스오버 fast=75, slow=192 |
-0.1% | -8.5% | -0.04 | -0.01 | 1.0x | 22 | 57% |
| EMA 크로스오버 fast=24, slow=199 |
-0.2% | -8.6% | -0.06 | -0.02 | 1.0x | 24 | 56% |
| ADX / DI 방향성 period=50, threshold=31 |
-0.1% | -2.5% | -0.08 | -0.03 | 1.0x | 6 | 7% |
| Supertrend period=13, mult=5 |
-0.3% | -12.7% | -0.10 | -0.02 | 0.9x | 32 | 61% |
| Donchian 채널 돌파 entryN=44, exitN=74 |
-0.3% | -7.4% | -0.11 | -0.03 | 1.0x | 28 | 56% |
| MACD fast=40, slow=88, signal=34 |
-2.5% | -36.9% | -1.09 | -0.07 | 0.6x | 94 | 45% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.0% | -53.4% | -1.38 | -0.07 | 0.5x | 140 | 50% |
| Buy and hold | 0.2% | -14.0% | 0.07 | 0.01 | 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 151-day return is greater than -5%
- Sell — Sell when the 151-day return drops to -5% or below