Trend-Following Backtester · Guide · backtest 한국어
etf · US
T. Rowe Price Ultra Short-Term Bond ETF backtest
10 trend-following strategies were compared on the full daily history of T. Rowe Price Ultra Short-Term Bond ETF. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR -0.3%, drawdown -3.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.2%, MDD -1.0%, Sharpe 0.12, 62% 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=39, slow=266 |
0.2% | -1.0% | 0.12 | 0.16 | 1.0x | 2 | 62% |
| SMA 크로스오버 fast=50, slow=181 |
0.1% | -1.8% | 0.08 | 0.05 | 1.0x | 4 | 55% |
| ROC 모멘텀 n=123, threshold=-0.01 |
0.1% | -1.9% | 0.06 | 0.05 | 1.0x | 3 | 76% |
| ADX / DI 방향성 period=37, threshold=25 |
-0.1% | -0.9% | -0.06 | -0.06 | 1.0x | 2 | 16% |
| Donchian 채널 돌파 entryN=30, exitN=53 |
-0.3% | -3.7% | -0.19 | -0.08 | 1.0x | 6 | 61% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=4 |
-0.3% | -1.3% | -0.44 | -0.20 | 1.0x | 2 | 3% |
| Supertrend period=24, mult=5 |
-0.9% | -4.6% | -0.55 | -0.20 | 1.0x | 10 | 61% |
| 볼린저 밴드 돌파 n=39, k=2.9 |
-0.3% | -1.6% | -0.60 | -0.20 | 1.0x | 2 | 0% |
| MACD fast=68, slow=89, signal=31 |
-3.9% | -18.1% | -2.15 | -0.22 | 0.8x | 34 | 45% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.4% | -20.3% | -2.36 | -0.22 | 0.8x | 40 | 48% |
| Buy and hold | -0.3% | -3.9% | -0.16 | -0.07 | 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 39-day EMA crosses above the 266-day EMA
- Sell — Sell when the 39-day EMA falls below the 266-day EMA