Trend-Following Backtester · Guide · backtest 한국어
etf · US
PGIM Ultra Short Bond ETF backtest
10 trend-following strategies were compared on the full daily history of PGIM Ultra Short Bond ETF. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -1.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -6.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -2.3%, Sharpe -0.04, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 4.0%p (CAGR -0.1%, MDD -1.0%, exposure 6%).
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=8, threshold=-0.01 |
-0.1% | -2.3% | -0.04 | -0.02 | 1.0x | 3 | 99% |
| SMA 크로스오버 fast=61, slow=170 |
-0.4% | -3.0% | -0.33 | -0.12 | 1.0x | 8 | 48% |
| ADX / DI 방향성 period=45, threshold=30 |
-0.1% | -1.0% | -0.34 | -0.12 | 1.0x | 2 | 6% |
| EMA 크로스오버 fast=88, slow=221 |
-0.5% | -4.2% | -0.45 | -0.12 | 1.0x | 8 | 55% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=3.6 |
-0.1% | -1.2% | -0.49 | -0.12 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=18, k=2.4 |
-0.2% | -1.3% | -0.58 | -0.12 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=42, exitN=79 |
-1.1% | -8.8% | -0.85 | -0.13 | 0.9x | 16 | 55% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-4.3% | -30.3% | -2.48 | -0.14 | 0.7x | 60 | 45% |
| Supertrend period=8, mult=5 |
-4.4% | -31.2% | -2.74 | -0.14 | 0.7x | 58 | 15% |
| MACD fast=47, slow=56, signal=47 |
-6.2% | -41.1% | -3.33 | -0.15 | 0.6x | 89 | 40% |
| Buy and hold | -0.2% | -6.3% | -0.09 | -0.03 | 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 8-day return is greater than -1%
- Sell — Sell when the 8-day return drops to -1% or below