Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares California Muni Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares California Muni Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.4%, drawdown -22.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -23.5%, Sharpe 0.09, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 100% n=3, threshold=-0.09 |
0.4% | -23.5% | 0.09 | 0.02 | 1.1x | 3 | 100% |
| SMA 크로스오버 fast=45, slow=229 |
-0.0% | -25.8% | 0.03 | -0.00 | 1.0x | 22 | 60% |
| Donchian 채널 돌파 entryN=126, exitN=40 |
-0.1% | -20.3% | 0.02 | -0.00 | 1.0x | 24 | 32% |
| ADX / DI 방향성 period=42, threshold=48 |
-0.0% | -1.7% | -0.10 | -0.02 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=27, slow=57 |
-1.0% | -32.7% | -0.11 | -0.03 | 0.8x | 62 | 60% |
| Supertrend period=30, mult=3.4 |
-1.1% | -22.1% | -0.11 | -0.05 | 0.8x | 104 | 61% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=21, mult=1.9 |
-1.2% | -29.0% | -0.15 | -0.04 | 0.8x | 80 | 44% |
| Parabolic SAR step=0.01, maxStep=0.04 |
-1.5% | -35.8% | -0.18 | -0.04 | 0.8x | 150 | 58% |
| MACD fast=23, slow=44, signal=31 |
-1.7% | -30.2% | -0.21 | -0.06 | 0.7x | 138 | 51% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
-1.2% | -21.0% | -0.28 | -0.06 | 0.8x | 6 | 2% |
| Buy and hold | 0.4% | -22.8% | 0.10 | 0.02 | 1.1x | 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 3-day return is greater than -9%
- Sell — Sell when the 3-day return drops to -9% or below