Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares New York Muni Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares New York Muni Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -14.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.0%, MDD -17.3%, Sharpe 0.03, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.0%, MDD -17.1%, exposure 82%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% n=27, threshold=-0.1 |
-0.0% | -17.3% | 0.03 | -0.00 | 1.0x | 3 | 99% |
| Donchian 채널 돌파 entryN=14, exitN=104 |
0.0% | -17.1% | 0.03 | 0.00 | 1.0x | 40 | 82% |
| ADX / DI 방향성 period=33, threshold=36 |
0.0% | -1.6% | 0.02 | 0.00 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=55, slow=215 |
-0.3% | -13.3% | -0.04 | -0.02 | 0.9x | 20 | 58% |
| EMA 크로스오버 fast=57, slow=193 |
-0.6% | -19.7% | -0.11 | -0.03 | 0.9x | 22 | 59% |
| Supertrend period=22, mult=4.2 |
-0.9% | -15.9% | -0.14 | -0.05 | 0.9x | 74 | 63% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
-0.6% | -11.9% | -0.19 | -0.05 | 0.9x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=3.2 |
-1.0% | -22.8% | -0.29 | -0.05 | 0.8x | 50 | 22% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.9% | -42.3% | -0.64 | -0.07 | 0.6x | 164 | 56% |
| MACD fast=17, slow=57, signal=18 |
-4.1% | -54.6% | -0.90 | -0.07 | 0.5x | 188 | 51% |
| Buy and hold | 0.2% | -14.8% | 0.06 | 0.01 | 1.0x | 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 27-day return is greater than -10%
- Sell — Sell when the 27-day return drops to -10% or below