Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 5-10 Year Investment Grade Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 5-10 Year Investment Grade Corporate Bond ETF. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -2.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.2%, drawdown -23.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -2.2%, Sharpe 0.38, 3% exposure.
CAGR reference leader: Supertrend — CAGR 0.4%, MDD -11.5%, exposure 59%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 0.2%, MDD -2.2%, exposure 3%).
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=49, threshold=22 |
0.2% | -2.2% | 0.38 | 0.11 | 1.0x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=4 |
0.3% | -5.1% | 0.20 | 0.05 | 1.1x | 18 | 9% |
| 볼린저 밴드 돌파 n=29, k=3.1 |
0.1% | -2.4% | 0.18 | 0.05 | 1.0x | 6 | 3% |
| Supertrend period=22, mult=4.8 |
0.4% | -11.5% | 0.12 | 0.03 | 1.1x | 54 | 59% |
| Donchian 채널 돌파 entryN=46, exitN=65 |
0.3% | -13.5% | 0.09 | 0.02 | 1.1x | 40 | 60% |
| ROC 모멘텀 n=59, threshold=0.18 |
0.0% | -0.5% | 0.06 | 0.02 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=16, slow=77 |
-0.5% | -16.0% | -0.11 | -0.03 | 0.9x | 62 | 57% |
| SMA 크로스오버 fast=57, slow=156 |
-0.6% | -20.5% | -0.13 | -0.03 | 0.9x | 30 | 55% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.1% | -50.6% | -0.80 | -0.06 | 0.5x | 176 | 52% |
| MACD fast=21, slow=58, signal=17 |
-3.7% | -52.8% | -0.97 | -0.07 | 0.5x | 192 | 48% |
| Buy and hold | 0.2% | -23.9% | 0.06 | 0.01 | 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, 49-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)