Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab 1-5 Year Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab 1-5 Year Corporate Bond ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.6%, drawdown -13.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.5%, Sharpe 0.43, 0% exposure.
CAGR reference leader: Supertrend — CAGR 0.3%, MDD -8.0%, exposure 45%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 13.1%p (CAGR 0.2%, MDD -0.5%, exposure 0%).
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 n=14, threshold=0.07 |
0.2% | -0.5% | 0.43 | 0.45 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=5, mult=3.5 |
0.2% | -1.6% | 0.27 | 0.15 | 1.0x | 6 | 10% |
| Supertrend period=31, mult=4.6 |
0.3% | -8.0% | 0.14 | 0.04 | 1.0x | 20 | 45% |
| EMA 크로스오버 fast=75, slow=198 |
0.1% | -2.9% | 0.06 | 0.03 | 1.0x | 4 | 51% |
| SMA 크로스오버 fast=22, slow=143 |
0.1% | -4.3% | 0.04 | 0.01 | 1.0x | 10 | 49% |
| ADX / DI 방향성 period=29, threshold=25 |
-0.1% | -2.6% | -0.10 | -0.04 | 1.0x | 8 | 19% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
-0.3% | -2.3% | -0.39 | -0.12 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=77, exitN=78 |
-0.8% | -6.7% | -0.40 | -0.11 | 0.9x | 10 | 40% |
| MACD fast=34, slow=70, signal=51 |
-1.4% | -11.0% | -0.65 | -0.12 | 0.9x | 26 | 39% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.6% | -24.2% | -1.46 | -0.15 | 0.8x | 56 | 48% |
| Buy and hold | -0.6% | -13.6% | -0.11 | -0.04 | 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 14-day return is greater than 7%
- Sell — Sell when the 14-day return drops to 7% or below