Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBoxx $ High Yield Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBoxx $ High Yield Corporate Bond ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -2.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.4%, drawdown -41.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -6.6%, Sharpe 0.23, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 0.2%, MDD -2.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=2.8 |
0.5% | -6.6% | 0.23 | 0.07 | 1.1x | 6 | 1% |
| ADX / DI 방향성 period=30, threshold=28 |
0.2% | -2.2% | 0.16 | 0.09 | 1.0x | 8 | 0% |
| Donchian 채널 돌파 entryN=117, exitN=100 |
0.1% | -14.1% | 0.05 | 0.01 | 1.0x | 18 | 45% |
| SMA 크로스오버 fast=41, slow=209 |
-0.1% | -15.0% | -0.00 | -0.01 | 1.0x | 24 | 53% |
| EMA 크로스오버 fast=59, slow=160 |
-0.2% | -17.6% | -0.01 | -0.01 | 1.0x | 20 | 53% |
| ROC 모멘텀 n=98, threshold=0.1 |
-0.1% | -13.5% | -0.02 | -0.00 | 1.0x | 30 | 3% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=22, mult=2 |
-0.6% | -21.7% | -0.25 | -0.03 | 0.9x | 26 | 3% |
| Supertrend period=17, mult=4 |
-3.1% | -55.0% | -0.44 | -0.06 | 0.5x | 117 | 58% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.0% | -61.3% | -0.62 | -0.07 | 0.5x | 162 | 54% |
| MACD fast=17, slow=69, signal=22 |
-5.8% | -70.4% | -0.90 | -0.08 | 0.3x | 202 | 49% |
| Buy and hold | -1.4% | -41.9% | -0.08 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 12-day middle average