Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Short-Term National Muni Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Short-Term National Muni Bond ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -11.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -1.8%, Sharpe 0.14, 1% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=62 |
0.1% | -1.8% | 0.14 | 0.07 | 1.0x | 2 | 1% |
| ROC 모멘텀 Hold-like · Exposure 100% n=16, threshold=-0.05 |
0.1% | -9.9% | 0.03 | 0.01 | 1.0x | 5 | 100% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
-0.0% | -1.8% | -0.00 | -0.00 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=3.5 |
-0.3% | -5.4% | -0.12 | -0.05 | 1.0x | 2 | 0% |
| Supertrend period=18, mult=5 |
-0.6% | -17.4% | -0.18 | -0.04 | 0.9x | 38 | 63% |
| Donchian 채널 돌파 entryN=14, exitN=103 |
-1.0% | -22.3% | -0.28 | -0.04 | 0.8x | 34 | 85% |
| EMA 크로스오버 fast=77, slow=277 |
-0.8% | -14.8% | -0.39 | -0.05 | 0.9x | 16 | 56% |
| SMA 크로스오버 fast=59, slow=206 |
-1.3% | -20.7% | -0.64 | -0.06 | 0.8x | 28 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.3% | -47.4% | -1.03 | -0.07 | 0.6x | 134 | 51% |
| MACD fast=15, slow=48, signal=24 |
-4.5% | -57.0% | -2.13 | -0.08 | 0.4x | 178 | 49% |
| Buy and hold | 0.2% | -11.7% | 0.08 | 0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 62
- Sell — Sell when direction flips or the trend weakens (ADX < 62)