Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Convertible Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Convertible Bond ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -20.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.7%, drawdown -38.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -20.2%, Sharpe 0.74, 73% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.3%, MDD -30.5%, exposure 82%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 17.9%p (CAGR 8.1%, MDD -20.2%, exposure 73%).
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=4, slow=219 |
8.1% | -20.2% | 0.74 | 0.40 | 2.4x | 23 | 73% |
| EMA 크로스오버 fast=8, slow=136 |
7.8% | -21.3% | 0.73 | 0.37 | 2.3x | 27 | 72% |
| ROC 모멘텀 n=147, threshold=-0.06 |
8.3% | -30.5% | 0.69 | 0.27 | 2.4x | 23 | 82% |
| Donchian 채널 돌파 entryN=18, exitN=70 |
7.7% | -30.9% | 0.68 | 0.25 | 2.3x | 25 | 82% |
| Supertrend period=17, mult=3.8 |
4.6% | -27.2% | 0.53 | 0.17 | 1.7x | 68 | 55% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=1.6 |
4.1% | -22.4% | 0.48 | 0.18 | 1.6x | 74 | 54% |
| MACD fast=21, slow=61, signal=28 |
3.5% | -29.5% | 0.41 | 0.12 | 1.5x | 86 | 53% |
| ADX / DI 방향성 period=33, threshold=15 |
2.2% | -11.6% | 0.36 | 0.19 | 1.3x | 60 | 27% |
| 볼린저 밴드 돌파 n=34, k=2 |
2.2% | -18.8% | 0.33 | 0.12 | 1.3x | 56 | 32% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.1% | -40.8% | 0.16 | 0.03 | 1.1x | 106 | 59% |
| Buy and hold | 7.7% | -38.2% | 0.55 | 0.20 | 2.3x | 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 4-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 4-day average falls below the 219-day average