Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Broad USD Investment Grade Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Broad USD 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 ROC 모멘텀 (CAGR 0.1%, MDD -1.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.0%, drawdown -24.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -5.2%, Sharpe 0.20, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.6%, MDD -16.7%, exposure 62%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 0.1%, MDD -1.0%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=23 |
0.3% | -5.2% | 0.20 | 0.06 | 1.1x | 18 | 7% |
| ROC 모멘텀 n=13, threshold=0.08 |
0.1% | -1.0% | 0.16 | 0.11 | 1.0x | 4 | 0% |
| Donchian 채널 돌파 entryN=51, exitN=79 |
0.6% | -16.7% | 0.15 | 0.03 | 1.1x | 32 | 62% |
| SMA 크로스오버 fast=56, slow=139 |
0.0% | -19.9% | 0.02 | 0.00 | 1.0x | 30 | 54% |
| Supertrend period=22, mult=4.6 |
-0.3% | -15.3% | -0.06 | -0.02 | 0.9x | 62 | 51% |
| 볼린저 밴드 돌파 n=50, k=3.2 |
-0.1% | -4.1% | -0.13 | -0.03 | 1.0x | 6 | 2% |
| EMA 크로스오버 fast=38, slow=63 |
-0.8% | -21.1% | -0.16 | -0.04 | 0.9x | 56 | 54% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=28, mult=4 |
-0.6% | -11.3% | -0.27 | -0.05 | 0.9x | 28 | 12% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.4% | -50.2% | -0.75 | -0.07 | 0.5x | 168 | 52% |
| MACD fast=19, slow=57, signal=18 |
-4.6% | -60.2% | -1.01 | -0.08 | 0.4x | 212 | 50% |
| Buy and hold | -0.0% | -24.9% | 0.03 | -0.00 | 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, 34-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)