Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core Universal USD Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Universal USD Bond ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 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 -0.8%, drawdown -22.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.0%, MDD -4.0%, Sharpe 0.00, 6% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 18.8%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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=39, k=3.1 |
-0.0% | -4.0% | 0.00 | -0.00 | 1.0x | 6 | 6% |
| SMA 크로스오버 fast=44, slow=183 |
-0.2% | -9.9% | -0.04 | -0.02 | 1.0x | 18 | 47% |
| ADX / DI 방향성 period=37, threshold=27 |
-0.1% | -5.9% | -0.06 | -0.02 | 1.0x | 8 | 10% |
| ROC 모멘텀 n=84, threshold=0.08 |
-0.0% | -0.5% | -0.17 | -0.07 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=3.8 |
-0.3% | -4.8% | -0.19 | -0.05 | 1.0x | 14 | 9% |
| EMA 크로스오버 fast=59, slow=190 |
-0.8% | -14.4% | -0.24 | -0.06 | 0.9x | 18 | 45% |
| Supertrend period=18, mult=3.9 |
-0.9% | -10.6% | -0.27 | -0.09 | 0.9x | 54 | 46% |
| Donchian 채널 돌파 entryN=78, exitN=48 |
-0.7% | -17.0% | -0.29 | -0.04 | 0.9x | 18 | 33% |
| MACD fast=22, slow=64, signal=23 |
-2.9% | -29.7% | -0.80 | -0.10 | 0.7x | 88 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.1% | -46.7% | -1.47 | -0.11 | 0.5x | 114 | 51% |
| Buy and hold | -0.8% | -22.7% | -0.15 | -0.04 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 39-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 39-day middle average