Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab U.S. TIPS ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab U.S. TIPS ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 0.5%, MDD -12.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.2%, drawdown -22.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.5%, MDD -12.9%, Sharpe 0.14, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 9.3%p (CAGR 0.5%, MDD -12.9%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=222 |
0.5% | -12.9% | 0.14 | 0.03 | 1.1x | 22 | 51% |
| ADX / DI 방향성 period=39, threshold=29 |
0.1% | -4.2% | 0.11 | 0.03 | 1.0x | 4 | 3% |
| EMA 크로스오버 fast=89, slow=161 |
0.2% | -19.1% | 0.08 | 0.01 | 1.0x | 18 | 53% |
| ROC 모멘텀 n=97, threshold=-0.05 |
0.2% | -17.1% | 0.07 | 0.01 | 1.0x | 25 | 90% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
-0.0% | -5.6% | -0.03 | -0.01 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=84, exitN=47 |
-0.3% | -16.3% | -0.08 | -0.02 | 1.0x | 28 | 39% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=17, mult=4 |
-0.7% | -13.7% | -0.40 | -0.05 | 0.9x | 18 | 6% |
| Supertrend period=14, mult=4.5 |
-1.8% | -34.5% | -0.44 | -0.05 | 0.8x | 66 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.0% | -49.8% | -0.98 | -0.08 | 0.5x | 126 | 55% |
| MACD fast=23, slow=43, signal=24 |
-4.6% | -54.7% | -1.14 | -0.08 | 0.5x | 140 | 49% |
| Buy and hold | 0.2% | -22.2% | 0.07 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 46-day average price crosses above the 222-day average
- Sell — Sell (to cash) when the 46-day average falls below the 222-day average