Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares TIPS Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares TIPS Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -22.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD -0.5%, Sharpe 0.18, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.2%, MDD -14.5%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=5, threshold=0.06 |
0.0% | -0.5% | 0.18 | 0.07 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=43, slow=135 |
0.2% | -14.5% | 0.06 | 0.01 | 1.0x | 44 | 55% |
| EMA 크로스오버 fast=43, slow=209 |
0.0% | -21.1% | 0.02 | 0.00 | 1.0x | 32 | 53% |
| 볼린저 밴드 돌파 n=20, k=3.2 |
-0.1% | -5.3% | -0.06 | -0.01 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=106, exitN=37 |
-0.3% | -18.3% | -0.07 | -0.02 | 0.9x | 34 | 35% |
| ADX / DI 방향성 period=34, threshold=28 |
-0.1% | -3.8% | -0.08 | -0.02 | 1.0x | 4 | 1% |
| Supertrend period=21, mult=4.7 |
-1.1% | -33.0% | -0.23 | -0.03 | 0.8x | 82 | 57% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=3.7 |
-0.1% | -1.7% | -0.30 | -0.04 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.5% | -65.7% | -0.98 | -0.07 | 0.4x | 192 | 53% |
| MACD fast=19, slow=32, signal=25 |
-5.2% | -70.8% | -1.14 | -0.07 | 0.3x | 236 | 50% |
| Buy and hold | 0.2% | -22.0% | 0.07 | 0.01 | 1.1x | 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 5-day return is greater than 6%
- Sell — Sell when the 5-day return drops to 6% or below