Trend-Following Backtester · Guide · backtest 한국어
etf · US
Xtrackers USD High Yield Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers USD High Yield Corporate Bond ETF. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.1%, MDD -1.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.2%, drawdown -24.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -1.5%, Sharpe 0.23, 0% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR -0.1%, MDD -1.1%, 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=12, threshold=0.1 |
0.4% | -1.5% | 0.23 | 0.28 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=45, exitN=118 |
-0.5% | -9.0% | -0.10 | -0.06 | 1.0x | 14 | 64% |
| EMA 크로스오버 fast=22, slow=189 |
-0.5% | -6.4% | -0.13 | -0.07 | 1.0x | 12 | 48% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
-0.1% | -1.1% | -0.21 | -0.06 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=22, threshold=31 |
-0.2% | -2.3% | -0.34 | -0.10 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=35, slow=202 |
-1.4% | -13.1% | -0.35 | -0.11 | 0.9x | 14 | 50% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=25, mult=3.5 |
-0.4% | -5.4% | -0.37 | -0.07 | 1.0x | 8 | 5% |
| Supertrend period=28, mult=5 |
-2.1% | -23.3% | -0.41 | -0.09 | 0.8x | 37 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.0% | -39.4% | -0.92 | -0.13 | 0.6x | 78 | 54% |
| MACD fast=19, slow=30, signal=17 |
-6.2% | -46.0% | -1.18 | -0.13 | 0.5x | 120 | 49% |
| Buy and hold | -1.2% | -24.7% | -0.10 | -0.05 | 0.9x | 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 12-day return is greater than 10%
- Sell — Sell when the 12-day return drops to 10% or below