Trend-Following Backtester · Guide · backtest 한국어
etf · US
Goldman Sachs Ultra Short Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs Ultra Short Bond ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -3.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -2.5%, Sharpe -0.08, 54% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.0%, MDD -0.6%, exposure 1%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=99, slow=238 |
-0.1% | -2.5% | -0.08 | -0.04 | 1.0x | 6 | 54% |
| ROC 모멘텀 n=31, threshold=0.01 |
-0.0% | -0.6% | -0.08 | -0.04 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=55, exitN=128 |
-0.3% | -3.3% | -0.27 | -0.10 | 1.0x | 4 | 52% |
| ADX / DI 방향성 period=44, threshold=36 |
-0.1% | -0.9% | -0.43 | -0.14 | 1.0x | 2 | 3% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
-0.2% | -1.1% | -0.55 | -0.14 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=59, slow=134 |
-0.7% | -5.7% | -0.56 | -0.12 | 1.0x | 8 | 61% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=12, mult=3.8 |
-0.2% | -1.3% | -0.62 | -0.14 | 1.0x | 2 | 0% |
| Supertrend period=9, mult=5 |
-2.8% | -18.8% | -2.08 | -0.15 | 0.8x | 34 | 28% |
| MACD fast=54, slow=88, signal=32 |
-3.7% | -24.1% | -2.34 | -0.15 | 0.8x | 49 | 35% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.1% | -26.7% | -2.51 | -0.15 | 0.7x | 53 | 50% |
| Buy and hold | 0.1% | -3.6% | 0.07 | 0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 99-day average price crosses above the 238-day average
- Sell — Sell (to cash) when the 99-day average falls below the 238-day average