Trend-Following Backtester · Guide · backtest 한국어
etf · US
VictoryShares Core Intermediate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of VictoryShares Core Intermediate Bond ETF. 7 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 0.5%, MDD -2.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.0%, drawdown -21.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -2.3%, Sharpe 0.52, 5% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.5%, MDD -4.6%, exposure 10%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 0.5%, MDD -2.3%, exposure 5%).
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=38, threshold=26 |
0.5% | -2.3% | 0.52 | 0.21 | 1.0x | 2 | 5% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
0.5% | -4.6% | 0.40 | 0.10 | 1.0x | 4 | 10% |
| ROC 모멘텀 n=116, threshold=-0.04 |
-0.0% | -11.7% | 0.02 | -0.00 | 1.0x | 13 | 83% |
| Donchian 채널 돌파 entryN=43, exitN=54 |
-0.0% | -9.3% | 0.00 | -0.00 | 1.0x | 20 | 47% |
| SMA 크로스오버 fast=45, slow=192 |
-0.1% | -11.3% | -0.01 | -0.01 | 1.0x | 14 | 48% |
| EMA 크로스오버 fast=56, slow=268 |
-0.4% | -13.8% | -0.11 | -0.03 | 1.0x | 12 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=4 |
-0.3% | -10.0% | -0.12 | -0.03 | 1.0x | 18 | 21% |
| Supertrend period=15, mult=4.8 |
-1.1% | -12.8% | -0.31 | -0.09 | 0.9x | 38 | 47% |
| MACD fast=31, slow=65, signal=24 |
-1.4% | -13.6% | -0.38 | -0.10 | 0.9x | 48 | 47% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.1% | -24.0% | -0.85 | -0.13 | 0.8x | 72 | 47% |
| Buy and hold | -1.0% | -21.0% | -0.17 | -0.05 | 0.9x | 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, 38-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)