Trend-Following Backtester · Guide · backtest 한국어
etf · US
Northern Trust iBoxx 5-Year Target Duration TIPS ETF backtest
10 trend-following strategies were compared on the full daily history of Northern Trust iBoxx 5-Year Target Duration TIPS ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -20.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD -0.7%, Sharpe 0.08, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.1%, MDD -10.2%, exposure 47%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 0.0%, MDD -0.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=93, threshold=0.07 |
0.0% | -0.7% | 0.08 | 0.03 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=54, slow=199 |
0.1% | -10.2% | 0.03 | 0.01 | 1.0x | 18 | 47% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
-0.0% | -2.6% | -0.00 | -0.00 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=58, slow=191 |
-0.2% | -12.6% | -0.04 | -0.01 | 1.0x | 16 | 44% |
| ADX / DI 방향성 period=33, threshold=25 |
-0.2% | -4.9% | -0.17 | -0.04 | 1.0x | 10 | 6% |
| Donchian 채널 돌파 entryN=74, exitN=78 |
-0.7% | -13.6% | -0.22 | -0.05 | 0.9x | 22 | 51% |
| Supertrend period=16, mult=4.3 |
-1.6% | -26.3% | -0.46 | -0.06 | 0.8x | 62 | 49% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=4 |
-0.6% | -9.1% | -0.47 | -0.07 | 0.9x | 20 | 8% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.3% | -49.7% | -1.21 | -0.09 | 0.5x | 122 | 50% |
| MACD fast=23, slow=57, signal=20 |
-4.4% | -49.6% | -1.24 | -0.09 | 0.5x | 126 | 49% |
| Buy and hold | -0.7% | -20.9% | -0.12 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 93-day return is greater than 7%
- Sell — Sell when the 93-day return drops to 7% or below