Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Ultra Short Duration Bond Active ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Ultra Short Duration Bond Active ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.0%, drawdown -3.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -3.8%, Sharpe -0.10, 95% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -0.9%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=169, threshold=-0.02 |
-0.1% | -3.8% | -0.10 | -0.03 | 1.0x | 3 | 95% |
| ADX / DI 방향성 period=38, threshold=33 |
-0.1% | -0.9% | -0.34 | -0.08 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=60, slow=260 |
-0.4% | -5.6% | -0.37 | -0.07 | 0.9x | 8 | 59% |
| EMA 크로스오버 fast=99, slow=329 |
-0.4% | -6.2% | -0.38 | -0.07 | 0.9x | 6 | 65% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
-0.1% | -1.3% | -0.43 | -0.08 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=71, exitN=78 |
-0.7% | -8.9% | -0.75 | -0.08 | 0.9x | 16 | 33% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=19, mult=3.3 |
-0.3% | -3.5% | -0.76 | -0.08 | 1.0x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-4.2% | -41.8% | -2.52 | -0.10 | 0.6x | 97 | 52% |
| Supertrend period=12, mult=5 |
-4.1% | -41.2% | -2.68 | -0.10 | 0.6x | 84 | 50% |
| MACD fast=39, slow=72, signal=29 |
-6.4% | -56.6% | -3.51 | -0.11 | 0.4x | 145 | 45% |
| Buy and hold | 0.0% | -3.9% | 0.04 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 169-day return is greater than -2%
- Sell — Sell when the 169-day return drops to -2% or below