Trend-Following Backtester · Guide · backtest 한국어
etf · US
Simplify Interest Rate Hedge ETF backtest
10 trend-following strategies were compared on the full daily history of Simplify Interest Rate Hedge ETF. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.6%, MDD -19.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.7%, drawdown -66.2%).
Sharpe leader (same as main): MACD — CAGR 18.1%, MDD -32.3%, Sharpe 0.73, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 11.6%, MDD -19.6%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=32, signal=15 |
18.1% | -32.3% | 0.73 | 0.56 | 2.4x | 55 | 53% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
11.6% | -19.6% | 0.66 | 0.60 | 1.8x | 14 | 20% |
| Donchian 채널 돌파 entryN=97, exitN=14 |
8.0% | -29.4% | 0.51 | 0.27 | 1.5x | 12 | 18% |
| Parabolic SAR step=0.02, maxStep=0.08 |
10.4% | -36.1% | 0.49 | 0.29 | 1.7x | 79 | 48% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=17, mult=2.2 |
4.7% | -37.7% | 0.31 | 0.12 | 1.3x | 35 | 30% |
| SMA 크로스오버 fast=18, slow=167 |
4.2% | -46.6% | 0.29 | 0.09 | 1.2x | 13 | 49% |
| ROC 모멘텀 n=55, threshold=-0.05 |
3.0% | -58.2% | 0.25 | 0.05 | 1.2x | 73 | 67% |
| ADX / DI 방향성 period=20, threshold=18 |
1.1% | -44.0% | 0.15 | 0.02 | 1.1x | 24 | 18% |
| Supertrend period=23, mult=4.7 |
0.4% | -36.0% | 0.15 | 0.01 | 1.0x | 25 | 46% |
| EMA 크로스오버 fast=38, slow=108 |
-0.9% | -56.6% | 0.12 | -0.02 | 1.0x | 15 | 49% |
| Buy and hold | 0.7% | -66.2% | 0.26 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/32) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line