Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 10 Year Investment Grade Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 10 Year Investment Grade Corporate Bond ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -5.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.4%, drawdown -40.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -5.2%, Sharpe 0.35, 3% exposure.
CAGR reference leader: Supertrend — CAGR 0.7%, MDD -19.8%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 0.5%, MDD -5.2%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=45, threshold=23 |
0.5% | -5.2% | 0.35 | 0.10 | 1.1x | 4 | 3% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
0.2% | -5.3% | 0.13 | 0.04 | 1.0x | 4 | 3% |
| Supertrend period=22, mult=5 |
0.7% | -19.8% | 0.13 | 0.03 | 1.1x | 52 | 46% |
| Donchian 채널 돌파 entryN=55, exitN=46 |
0.5% | -21.3% | 0.11 | 0.02 | 1.1x | 36 | 47% |
| SMA 크로스오버 fast=36, slow=129 |
0.1% | -30.3% | 0.06 | 0.00 | 1.0x | 32 | 52% |
| ROC 모멘텀 n=14, threshold=0.07 |
0.1% | -5.8% | 0.05 | 0.01 | 1.0x | 16 | 1% |
| EMA 크로스오버 fast=47, slow=58 |
-0.1% | -34.4% | 0.03 | -0.00 | 1.0x | 40 | 53% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=3.4 |
-0.2% | -14.8% | -0.03 | -0.01 | 1.0x | 40 | 20% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.4% | -34.0% | -0.32 | -0.07 | 0.7x | 92 | 52% |
| MACD fast=21, slow=41, signal=19 |
-4.5% | -55.5% | -0.59 | -0.08 | 0.5x | 174 | 51% |
| Buy and hold | -0.4% | -40.0% | 0.02 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 45-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)