Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 1-5 Year Investment Grade Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 1-5 Year Investment Grade Corporate Bond ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -13.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -17.6%, Sharpe -0.03, 53% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.1%, MDD -1.0%, exposure 0%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=101, slow=356 |
-0.1% | -17.6% | -0.03 | -0.01 | 1.0x | 14 | 53% |
| ROC 모멘텀 n=117, threshold=-0.02 |
-0.3% | -14.1% | -0.09 | -0.02 | 0.9x | 23 | 91% |
| ADX / DI 방향성 period=37, threshold=26 |
-0.2% | -3.3% | -0.25 | -0.05 | 1.0x | 8 | 4% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=22, mult=4 |
-0.2% | -4.9% | -0.31 | -0.05 | 1.0x | 14 | 5% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
-0.1% | -1.0% | -0.31 | -0.05 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=47, exitN=79 |
-1.3% | -24.8% | -0.43 | -0.05 | 0.8x | 36 | 67% |
| Supertrend period=24, mult=4.2 |
-1.2% | -23.1% | -0.44 | -0.05 | 0.8x | 58 | 60% |
| EMA 크로스오버 fast=29, slow=213 |
-1.0% | -22.6% | -0.49 | -0.05 | 0.8x | 36 | 58% |
| MACD fast=42, slow=72, signal=54 |
-1.7% | -29.5% | -0.76 | -0.06 | 0.7x | 76 | 45% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.5% | -38.5% | -0.94 | -0.06 | 0.6x | 102 | 55% |
| Buy and hold | 0.2% | -13.4% | 0.06 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 101-day average price crosses above the 356-day average
- Sell — Sell (to cash) when the 101-day average falls below the 356-day average