Trend-Following Backtester · Guide · backtest 한국어
etf · US
American Century Diversified Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of American Century Diversified Corporate Bond ETF. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.5%, drawdown -18.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -1.6%, Sharpe 0.54, 9% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 16.5%p (CAGR 0.0%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=26 |
0.4% | -1.6% | 0.54 | 0.25 | 1.0x | 4 | 9% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
0.3% | -1.6% | 0.48 | 0.22 | 1.0x | 2 | 7% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=16, mult=3.9 |
0.3% | -3.1% | 0.20 | 0.09 | 1.0x | 14 | 16% |
| Supertrend period=27, mult=4.8 |
0.2% | -7.0% | 0.10 | 0.04 | 1.0x | 32 | 46% |
| ROC 모멘텀 n=83, threshold=0.07 |
0.0% | -0.5% | 0.09 | 0.05 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=55, exitN=25 |
0.1% | -5.8% | 0.05 | 0.02 | 1.0x | 20 | 30% |
| EMA 크로스오버 fast=34, slow=46 |
-0.6% | -10.3% | -0.18 | -0.06 | 0.9x | 22 | 48% |
| SMA 크로스오버 fast=44, slow=153 |
-1.5% | -18.7% | -0.43 | -0.08 | 0.9x | 14 | 46% |
| MACD fast=31, slow=76, signal=25 |
-1.5% | -14.4% | -0.44 | -0.10 | 0.9x | 44 | 46% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-1.9% | -18.9% | -0.58 | -0.10 | 0.8x | 62 | 53% |
| Buy and hold | -1.5% | -18.1% | -0.27 | -0.08 | 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, 30-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)