Trend-Following Backtester · Guide · backtest 한국어
etf · US
Avantis Core Fixed Income ETF backtest
10 trend-following strategies were compared on the full daily history of Avantis Core Fixed Income ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -0.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.6%, drawdown -23.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -1.6%, Sharpe 0.23, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR -0.1%, MDD -0.7%, 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=15, threshold=38 |
0.2% | -1.6% | 0.23 | 0.14 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=4 |
-0.0% | -1.6% | -0.01 | -0.01 | 1.0x | 2 | 3% |
| 볼린저 밴드 돌파 n=38, k=2.7 |
-0.4% | -3.4% | -0.37 | -0.12 | 1.0x | 6 | 7% |
| Supertrend period=26, mult=4.6 |
-1.6% | -10.1% | -0.40 | -0.16 | 0.9x | 22 | 43% |
| ROC 모멘텀 n=46, threshold=0.08 |
-0.1% | -0.7% | -0.42 | -0.14 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=33, slow=194 |
-1.5% | -9.9% | -0.50 | -0.15 | 0.9x | 10 | 35% |
| Donchian 채널 돌파 entryN=59, exitN=28 |
-1.3% | -8.3% | -0.56 | -0.16 | 0.9x | 12 | 20% |
| EMA 크로스오버 fast=56, slow=204 |
-1.6% | -9.9% | -0.63 | -0.16 | 0.9x | 8 | 29% |
| MACD fast=14, slow=49, signal=16 |
-5.5% | -29.9% | -1.29 | -0.18 | 0.7x | 60 | 48% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-9.1% | -42.6% | -2.12 | -0.21 | 0.6x | 100 | 49% |
| Buy and hold | -3.6% | -23.5% | -0.58 | -0.15 | 0.8x | 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, 15-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)