Trend-Following Backtester · Guide · backtest 한국어

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Schwab 5-10 Year Corporate Bond ETF backtest

10 trend-following strategies were compared on the full daily history of Schwab 5-10 Year Corporate Bond ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -1.9%).

Data 2019-10-11 ~ 2026-07-31daily bars 1,709 (6.8 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -1.7%, drawdown -23.7%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -1.9%, Sharpe 0.51, 5% exposure.

CAGR reference leader: Supertrend — CAGR 1.4%, MDD -8.5%, exposure 45%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 0.7%, MDD -1.9%, exposure 5%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=20, k=3
0.7%-1.9%0.510.371.0x45%
Supertrend
period=24, mult=4.3
1.4%-8.5%0.340.161.1x2645%
Keltner 채널 돌파
emaPeriod=32, atrPeriod=17, mult=3.9
0.5%-4.0%0.280.121.0x810%
ROC 모멘텀
n=12, threshold=0.05
0.3%-2.4%0.220.111.0x61%
SMA 크로스오버
fast=35, slow=152
-0.8%-11.9%-0.21-0.060.9x1245%
Donchian 채널 돌파
entryN=45, exitN=69
-1.3%-14.4%-0.31-0.090.9x1649%
EMA 크로스오버
fast=20, slow=55
-1.6%-13.1%-0.35-0.120.9x2648%
ADX / DI 방향성
period=17, threshold=39
-0.4%-3.5%-0.43-0.121.0x62%
Parabolic SAR
step=0.005, maxStep=0.06
-3.1%-24.6%-0.71-0.130.8x5450%
MACD
fast=16, slow=49, signal=19
-5.4%-36.0%-1.18-0.150.7x8046%
Buy and hold-1.7%-23.7%-0.19-0.070.9x1100%
1x 2020 2021 2022 2023 2024 2025 2026 Supertrend볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -6% -12% -18% -24% 2020 2021 2022 2023 2024 2025 2026 Buy and holdSupertrend볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -1.9% (2020-08-06 → 2022-11-14), recovered after 839 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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