Trend-Following Backtester · Guide · backtest 한국어
etf · US
BNY Mellon Core Bond ETF backtest
10 trend-following strategies were compared on the full daily history of BNY Mellon Core Bond ETF. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -1.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -23.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.0%, MDD -1.6%, Sharpe 0.01, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR -0.2%, MDD -1.3%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=3.5 |
0.0% | -1.6% | 0.01 | 0.00 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=29, threshold=0.04 |
-0.1% | -3.4% | -0.06 | -0.02 | 1.0x | 8 | 2% |
| Donchian 채널 돌파 entryN=102, exitN=26 |
-0.4% | -4.0% | -0.26 | -0.10 | 1.0x | 6 | 9% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
-0.2% | -2.7% | -0.29 | -0.09 | 1.0x | 2 | 3% |
| ADX / DI 방향성 period=39, threshold=34 |
-0.2% | -1.3% | -0.45 | -0.16 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=40, slow=279 |
-1.3% | -8.1% | -0.48 | -0.16 | 0.9x | 8 | 24% |
| Supertrend period=11, mult=4.9 |
-2.1% | -14.2% | -0.61 | -0.15 | 0.9x | 24 | 38% |
| EMA 크로스오버 fast=19, slow=146 |
-2.6% | -16.3% | -0.89 | -0.16 | 0.8x | 18 | 33% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.7% | -25.9% | -1.19 | -0.18 | 0.7x | 54 | 43% |
| MACD fast=17, slow=38, signal=16 |
-5.8% | -31.3% | -1.44 | -0.18 | 0.7x | 68 | 47% |
| Buy and hold | -3.1% | -23.4% | -0.55 | -0.13 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average