Trend-Following Backtester · Guide · backtest 한국어
etf · US
Northern Trust Ultra-Short Fixed Income ETF backtest
10 trend-following strategies were compared on the full daily history of Northern Trust Ultra-Short Fixed Income 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 -0.0%, drawdown -4.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -5.3%, Sharpe -0.08, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.1%, MDD -0.7%, exposure 2%.
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=24, threshold=-0.03 |
-0.1% | -5.3% | -0.08 | -0.02 | 1.0x | 3 | 99% |
| ADX / DI 방향성 period=35, threshold=38 |
-0.1% | -0.8% | -0.25 | -0.07 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
-0.1% | -0.7% | -0.27 | -0.07 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=26, mult=3.5 |
-0.1% | -0.7% | -0.27 | -0.07 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=83, exitN=73 |
-0.6% | -7.8% | -0.50 | -0.07 | 0.9x | 14 | 69% |
| EMA 크로스오버 fast=102, slow=278 |
-0.6% | -8.7% | -0.62 | -0.07 | 0.9x | 12 | 59% |
| SMA 크로스오버 fast=59, slow=160 |
-0.8% | -10.3% | -0.79 | -0.08 | 0.9x | 18 | 50% |
| Supertrend period=22, mult=4.5 |
-2.2% | -26.6% | -1.63 | -0.08 | 0.7x | 59 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.6% | -40.1% | -2.22 | -0.09 | 0.6x | 91 | 50% |
| MACD fast=31, slow=55, signal=24 |
-6.8% | -62.2% | -3.47 | -0.11 | 0.4x | 173 | 46% |
| Buy and hold | -0.0% | -4.1% | 0.01 | -0.00 | 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 24-day return is greater than -3%
- Sell — Sell when the 24-day return drops to -3% or below