Trend-Following Backtester · Guide · backtest 한국어
etf · US
Hartford Total Return Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Hartford Total Return Bond ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.2%, drawdown -26.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -2.1%, Sharpe 0.30, 7% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.4%, MDD -4.8%, exposure 16%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR -0.0%, MDD -0.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=3.4 |
0.3% | -2.1% | 0.30 | 0.13 | 1.0x | 4 | 7% |
| ADX / DI 방향성 period=36, threshold=24 |
0.4% | -4.8% | 0.21 | 0.09 | 1.0x | 10 | 16% |
| SMA 크로스오버 fast=59, slow=183 |
-0.5% | -10.2% | -0.14 | -0.05 | 1.0x | 12 | 42% |
| ROC 모멘텀 n=81, threshold=0.08 |
-0.0% | -0.6% | -0.15 | -0.06 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=27, mult=3.8 |
-0.3% | -4.9% | -0.20 | -0.07 | 1.0x | 14 | 13% |
| Donchian 채널 돌파 entryN=46, exitN=57 |
-1.1% | -13.6% | -0.26 | -0.08 | 0.9x | 18 | 50% |
| EMA 크로스오버 fast=52, slow=219 |
-1.6% | -18.3% | -0.46 | -0.09 | 0.9x | 12 | 39% |
| Supertrend period=8, mult=4 |
-2.3% | -18.6% | -0.62 | -0.12 | 0.8x | 46 | 42% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.3% | -25.7% | -0.87 | -0.13 | 0.7x | 66 | 44% |
| MACD fast=19, slow=57, signal=19 |
-4.3% | -32.2% | -1.04 | -0.13 | 0.7x | 84 | 46% |
| Buy and hold | -2.2% | -26.8% | -0.36 | -0.08 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 33-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 33-day middle average