Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck IG Floating Rate ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck IG Floating Rate ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.2%, drawdown -18.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.7%, Sharpe 0.33, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 0.2%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=10, threshold=0.03 |
0.2% | -0.7% | 0.33 | 0.21 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=50, slow=122 |
-0.0% | -6.7% | 0.01 | -0.00 | 1.0x | 15 | 68% |
| Supertrend period=29, mult=4.7 |
-0.0% | -10.1% | -0.00 | -0.00 | 1.0x | 31 | 61% |
| SMA 크로스오버 fast=38, slow=213 |
-0.3% | -11.3% | -0.09 | -0.03 | 1.0x | 17 | 66% |
| Donchian 채널 돌파 entryN=27, exitN=77 |
-0.3% | -7.4% | -0.11 | -0.04 | 1.0x | 23 | 77% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
-0.5% | -8.5% | -0.34 | -0.06 | 0.9x | 16 | 8% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=3.9 |
-0.4% | -7.1% | -0.38 | -0.06 | 0.9x | 8 | 4% |
| ADX / DI 방향성 period=42, threshold=35 |
-0.1% | -1.6% | -0.41 | -0.07 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.6% | -33.5% | -1.07 | -0.08 | 0.7x | 103 | 51% |
| MACD fast=24, slow=58, signal=18 |
-6.8% | -66.1% | -2.47 | -0.10 | 0.3x | 197 | 49% |
| Buy and hold | 0.2% | -18.0% | 0.06 | 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 10-day return is greater than 3%
- Sell — Sell when the 10-day return drops to 3% or below