Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core 1-5 Year USD Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core 1-5 Year USD Bond ETF. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -0.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.3%, drawdown -11.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.2%, MDD -11.8%, Sharpe -0.08, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -0.9%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by -0.0%p (CAGR -0.1%, MDD -0.9%, exposure 1%).
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 Hold-like · Exposure 100% n=4, threshold=-0.02 |
-0.2% | -11.8% | -0.08 | -0.02 | 1.0x | 3 | 100% |
| EMA 크로스오버 fast=57, slow=214 |
-0.3% | -10.0% | -0.14 | -0.03 | 1.0x | 14 | 52% |
| SMA 크로스오버 fast=54, slow=218 |
-0.3% | -7.9% | -0.16 | -0.04 | 1.0x | 14 | 52% |
| ADX / DI 방향성 period=37, threshold=34 |
-0.1% | -0.9% | -0.27 | -0.07 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
-0.1% | -0.9% | -0.29 | -0.07 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=95, exitN=45 |
-0.4% | -7.9% | -0.30 | -0.05 | 0.9x | 14 | 29% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=28, mult=3.7 |
-0.5% | -7.2% | -0.50 | -0.07 | 0.9x | 16 | 11% |
| Supertrend period=28, mult=4.8 |
-0.9% | -12.7% | -0.51 | -0.07 | 0.9x | 34 | 48% |
| MACD fast=29, slow=50, signal=22 |
-4.2% | -45.0% | -1.86 | -0.09 | 0.6x | 114 | 47% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.4% | -46.4% | -2.08 | -0.10 | 0.5x | 118 | 46% |
| Buy and hold | -0.3% | -11.8% | -0.12 | -0.03 | 1.0x | 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 4-day return is greater than -2%
- Sell — Sell when the 4-day return drops to -2% or below