Trend-Following Backtester · Guide · backtest 한국어

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Schwab US Aggregate Bond ETF backtest

10 trend-following strategies were compared on the full daily history of Schwab US Aggregate Bond ETF. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).

Data 2011-07-14 ~ 2026-07-31daily bars 3,784 (15.0 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR -0.7%, drawdown -24.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.21, 0% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 0.1%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=4, threshold=0.04
0.1%-0.5%0.210.121.0x20%
볼린저 밴드 돌파
n=41, k=3.3
0.0%-4.3%0.020.001.0x65%
SMA 크로스오버
fast=39, slow=172
-0.2%-13.0%-0.05-0.021.0x2248%
EMA 크로스오버
fast=57, slow=179
-0.6%-12.2%-0.16-0.050.9x2046%
ADX / DI 방향성
period=21, threshold=39
-0.0%-0.9%-0.19-0.051.0x20%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=29, mult=3.9
-0.2%-3.6%-0.27-0.051.0x41%
Supertrend
period=31, mult=4.7
-1.3%-18.7%-0.40-0.070.8x5447%
Donchian 채널 돌파
entryN=97, exitN=39
-1.1%-19.9%-0.42-0.050.9x2431%
Parabolic SAR
step=0.005, maxStep=0.26
-4.3%-49.1%-1.28-0.090.5x13449%
MACD
fast=18, slow=51, signal=15
-5.8%-59.6%-1.61-0.100.4x17048%
Buy and hold-0.7%-24.3%-0.11-0.030.9x1100%
1x 2012 2014 2016 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -6% -12% -18% -24% 2012 2014 2016 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -0.5% (2020-03-26 → 2020-03-27), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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