Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core Canadian Universe Bond Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Canadian Universe Bond Index ETF. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -24.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.0%, MDD -3.8%, Sharpe 0.02, 1% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=3.9 |
0.0% | -3.8% | 0.02 | 0.00 | 1.0x | 4 | 1% |
| SMA 크로스오버 fast=63, slow=210 |
-0.3% | -16.7% | -0.03 | -0.02 | 0.9x | 32 | 56% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
-0.0% | -2.1% | -0.07 | -0.02 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=53, slow=322 |
-0.6% | -24.0% | -0.11 | -0.02 | 0.9x | 30 | 58% |
| ADX / DI 방향성 period=20, threshold=33 |
-0.2% | -8.1% | -0.17 | -0.02 | 1.0x | 10 | 1% |
| ROC 모멘텀 n=57, threshold=0.14 |
-0.0% | -0.5% | -0.22 | -0.04 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=7, exitN=75 |
-2.1% | -44.3% | -0.38 | -0.05 | 0.6x | 113 | 86% |
| Supertrend period=23, mult=4.4 |
-2.5% | -48.1% | -0.62 | -0.05 | 0.5x | 130 | 48% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.0% | -65.8% | -0.96 | -0.06 | 0.3x | 210 | 50% |
| MACD fast=23, slow=29, signal=19 |
-5.6% | -77.7% | -1.31 | -0.07 | 0.2x | 290 | 51% |
| Buy and hold | 0.2% | -24.2% | 0.06 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average