Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 0-5 Year TIPS Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 0-5 Year TIPS Bond ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -10.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR -0.0%, MDD -7.9%, Sharpe 0.00, 54% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=71, slow=213 |
-0.0% | -7.9% | 0.00 | -0.00 | 1.0x | 12 | 54% |
| SMA 크로스오버 fast=34, slow=311 |
-0.0% | -9.4% | -0.01 | -0.00 | 1.0x | 14 | 50% |
| ROC 모멘텀 Hold-like · Exposure 96% n=130, threshold=-0.08 |
-0.2% | -10.8% | -0.05 | -0.01 | 1.0x | 3 | 96% |
| Donchian 채널 돌파 entryN=106, exitN=74 |
-0.4% | -6.4% | -0.25 | -0.06 | 0.9x | 20 | 44% |
| 볼린저 밴드 돌파 n=20, k=3.3 |
-0.1% | -1.1% | -0.28 | -0.06 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=36, threshold=38 |
-0.1% | -1.5% | -0.37 | -0.06 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=4 |
-0.8% | -12.5% | -0.63 | -0.06 | 0.9x | 32 | 21% |
| Supertrend period=23, mult=5 |
-2.0% | -27.3% | -1.05 | -0.07 | 0.7x | 64 | 48% |
| MACD fast=28, slow=49, signal=30 |
-3.5% | -43.3% | -1.66 | -0.08 | 0.6x | 112 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.6% | -43.7% | -1.71 | -0.08 | 0.6x | 120 | 49% |
| Buy and hold | 0.1% | -10.3% | 0.04 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 71-day EMA crosses above the 213-day EMA
- Sell — Sell when the 71-day EMA falls below the 213-day EMA