Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Intermediate Muni Income Active ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Intermediate Muni Income Active ETF. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.1%, drawdown -14.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.7%, Sharpe 0.28, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 0.1%, MDD -0.7%, exposure 1%).
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=17, threshold=0.03 |
0.1% | -0.7% | 0.28 | 0.20 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
0.1% | -1.1% | 0.20 | 0.10 | 1.0x | 2 | 5% |
| EMA 크로스오버 fast=21, slow=251 |
-0.5% | -4.8% | -0.24 | -0.11 | 1.0x | 6 | 39% |
| ADX / DI 방향성 period=17, threshold=28 |
-0.4% | -3.5% | -0.25 | -0.10 | 1.0x | 16 | 17% |
| Donchian 채널 돌파 entryN=9, exitN=49 |
-0.9% | -7.3% | -0.31 | -0.13 | 1.0x | 22 | 71% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=2.9 |
-0.6% | -5.8% | -0.36 | -0.11 | 1.0x | 18 | 25% |
| MACD fast=30, slow=52, signal=19 |
-1.0% | -7.0% | -0.41 | -0.15 | 0.9x | 30 | 46% |
| SMA 크로스오버 fast=41, slow=181 |
-0.9% | -5.6% | -0.43 | -0.17 | 1.0x | 6 | 40% |
| Supertrend period=5, mult=4.6 |
-1.3% | -8.5% | -0.56 | -0.15 | 0.9x | 28 | 43% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.0% | -13.0% | -0.71 | -0.16 | 0.9x | 52 | 53% |
| Buy and hold | -1.1% | -14.0% | -0.29 | -0.08 | 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 17-day return is greater than 3%
- Sell — Sell when the 17-day return drops to 3% or below