Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Interest Rate Hedged High Yield Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Interest Rate Hedged High Yield Bond ETF. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -1.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.2%, drawdown -33.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.1%, MDD -7.3%, Sharpe -0.00, 36% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.1%, MDD -1.5%, exposure 0%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR -0.1%, MDD -1.5%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=170, exitN=96 |
-0.1% | -7.3% | -0.00 | -0.01 | 1.0x | 8 | 36% |
| ROC 모멘텀 n=82, threshold=0.14 |
-0.1% | -1.5% | -0.15 | -0.03 | 1.0x | 4 | 0% |
| EMA 크로스오버 fast=59, slow=208 |
-0.9% | -17.5% | -0.22 | -0.05 | 0.9x | 13 | 52% |
| SMA 크로스오버 fast=56, slow=206 |
-1.2% | -23.0% | -0.22 | -0.05 | 0.9x | 17 | 54% |
| ADX / DI 방향성 period=23, threshold=35 |
-0.1% | -1.7% | -0.26 | -0.08 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=25, mult=3.6 |
-0.3% | -3.3% | -0.33 | -0.08 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=23, k=3 |
-0.1% | -1.8% | -0.35 | -0.08 | 1.0x | 2 | 1% |
| Supertrend period=23, mult=4.6 |
-4.0% | -40.0% | -0.68 | -0.10 | 0.6x | 63 | 65% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-6.9% | -59.1% | -1.24 | -0.12 | 0.4x | 105 | 63% |
| MACD fast=17, slow=31, signal=21 |
-7.6% | -62.4% | -1.52 | -0.12 | 0.4x | 159 | 48% |
| Buy and hold | -1.2% | -33.0% | -0.10 | -0.04 | 0.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 170 days
- Sell — Sell when price breaks below the lowest low of the last 96 days