Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares ESG Aware U.S. Aggregate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares ESG Aware U.S. Aggregate Bond ETF. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.0%, drawdown -22.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.7%, MDD -2.2%, Sharpe 0.70, 8% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 20.8%p (CAGR 0.1%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=44, threshold=31 |
0.7% | -2.2% | 0.70 | 0.32 | 1.1x | 2 | 8% |
| ROC 모멘텀 n=4, threshold=0.03 |
0.1% | -0.5% | 0.21 | 0.12 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
0.0% | -4.2% | 0.04 | 0.01 | 1.0x | 4 | 8% |
| Donchian 채널 돌파 entryN=43, exitN=56 |
-0.3% | -13.2% | -0.07 | -0.02 | 1.0x | 14 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=3.9 |
-0.3% | -6.7% | -0.15 | -0.04 | 1.0x | 12 | 15% |
| SMA 크로스오버 fast=42, slow=186 |
-0.6% | -11.7% | -0.17 | -0.05 | 1.0x | 12 | 45% |
| Supertrend period=15, mult=4.6 |
-1.0% | -13.6% | -0.27 | -0.08 | 0.9x | 30 | 45% |
| EMA 크로스오버 fast=19, slow=142 |
-1.1% | -17.3% | -0.31 | -0.07 | 0.9x | 18 | 47% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.2% | -31.6% | -1.08 | -0.13 | 0.7x | 64 | 51% |
| MACD fast=15, slow=55, signal=18 |
-5.7% | -37.5% | -1.43 | -0.15 | 0.6x | 84 | 46% |
| Buy and hold | -1.0% | -22.9% | -0.15 | -0.04 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 44-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)