Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core Canadian Short Term Bond Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Canadian Short Term Bond Index ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.1%, drawdown -15.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR -0.5%, MDD -20.0%, Sharpe -0.17, 45% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.0%, MDD -0.9%, exposure 0%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by -4.6%p (CAGR -0.0%, MDD -0.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=66, slow=419 |
-0.5% | -20.0% | -0.17 | -0.03 | 0.9x | 17 | 45% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=11, mult=3.6 |
-0.1% | -4.2% | -0.20 | -0.02 | 1.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=32, k=3.3 |
-0.2% | -4.6% | -0.25 | -0.04 | 1.0x | 6 | 1% |
| ROC 모멘텀 n=125, threshold=0.06 |
-0.0% | -0.9% | -0.26 | -0.04 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=27, threshold=38 |
-0.1% | -3.5% | -0.28 | -0.04 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=52, slow=107 |
-1.0% | -28.2% | -0.33 | -0.04 | 0.8x | 59 | 44% |
| Donchian 채널 돌파 entryN=108, exitN=64 |
-1.2% | -28.9% | -0.48 | -0.04 | 0.7x | 42 | 39% |
| Supertrend period=23, mult=4.8 |
-1.9% | -40.0% | -0.71 | -0.05 | 0.6x | 88 | 43% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-3.4% | -59.4% | -1.22 | -0.06 | 0.4x | 140 | 45% |
| MACD fast=23, slow=57, signal=35 |
-4.7% | -71.3% | -1.54 | -0.07 | 0.3x | 208 | 50% |
| Buy and hold | -0.1% | -15.4% | -0.02 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 66-day EMA crosses above the 419-day EMA
- Sell — Sell when the 66-day EMA falls below the 419-day EMA