Trend-Following Backtester · Guide · backtest 한국어
etf · US
Northern Trust iBoxx 3-Year Target Duration TIPS ETF backtest
10 trend-following strategies were compared on the full daily history of Northern Trust iBoxx 3-Year Target Duration TIPS ETF. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.5%, drawdown -14.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.0%, MDD -8.2%, Sharpe 0.01, 48% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 5.9%p (CAGR -0.0%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=66, slow=198 |
0.0% | -8.2% | 0.01 | 0.00 | 1.0x | 14 | 48% |
| SMA 크로스오버 fast=50, slow=283 |
-0.0% | -8.6% | 0.00 | -0.00 | 1.0x | 12 | 47% |
| ROC 모멘텀 n=15, threshold=0.05 |
-0.0% | -0.5% | -0.03 | -0.02 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=39, threshold=24 |
-0.1% | -2.3% | -0.17 | -0.05 | 1.0x | 6 | 6% |
| 볼린저 밴드 돌파 n=15, k=3 |
-0.1% | -3.1% | -0.23 | -0.04 | 1.0x | 8 | 3% |
| Donchian 채널 돌파 entryN=90, exitN=53 |
-0.5% | -8.0% | -0.24 | -0.06 | 0.9x | 20 | 39% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=3.9 |
-0.3% | -5.2% | -0.29 | -0.05 | 1.0x | 12 | 6% |
| Supertrend period=13, mult=5 |
-1.5% | -22.7% | -0.65 | -0.07 | 0.8x | 42 | 52% |
| MACD fast=57, slow=59, signal=57 |
-2.2% | -28.1% | -0.88 | -0.08 | 0.7x | 56 | 47% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-3.5% | -41.4% | -1.36 | -0.08 | 0.6x | 108 | 49% |
| Buy and hold | -0.5% | -14.1% | -0.13 | -0.04 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 66-day EMA crosses above the 198-day EMA
- Sell — Sell when the 66-day EMA falls below the 198-day EMA