Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Systematic Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Systematic Bond ETF. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -0.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -22.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR -0.1%, MDD -5.6%, Sharpe -0.05, 16% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.1%, MDD -0.7%, exposure 0%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR -0.1%, MDD -0.7%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=4 |
-0.1% | -5.6% | -0.05 | -0.02 | 1.0x | 14 | 16% |
| ADX / DI 방향성 period=55, threshold=24 |
-0.1% | -4.9% | -0.07 | -0.02 | 1.0x | 2 | 6% |
| EMA 크로스오버 fast=20, slow=169 |
-0.4% | -11.5% | -0.14 | -0.04 | 1.0x | 16 | 48% |
| Donchian 채널 돌파 entryN=111, exitN=49 |
-0.4% | -5.9% | -0.20 | -0.07 | 1.0x | 12 | 25% |
| ROC 모멘텀 n=89, threshold=0.11 |
-0.1% | -0.7% | -0.21 | -0.09 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=15, slow=169 |
-0.8% | -15.3% | -0.27 | -0.05 | 0.9x | 20 | 49% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
-0.4% | -4.5% | -0.32 | -0.08 | 1.0x | 4 | 1% |
| Supertrend period=16, mult=4.9 |
-1.2% | -14.3% | -0.36 | -0.08 | 0.9x | 40 | 51% |
| MACD fast=23, slow=56, signal=22 |
-3.6% | -34.5% | -1.04 | -0.10 | 0.7x | 90 | 48% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-4.0% | -36.9% | -1.17 | -0.11 | 0.6x | 96 | 51% |
| Buy and hold | -1.2% | -22.4% | -0.23 | -0.05 | 0.9x | 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 46-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average