Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares BB Rated Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares BB Rated Corporate Bond ETF. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.2%, MDD -1.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.5%, drawdown -19.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -1.3%, Sharpe 0.26, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR -0.2%, MDD -1.0%, 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=17, threshold=35 |
0.2% | -1.3% | 0.26 | 0.16 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=23, mult=3.4 |
0.1% | -3.8% | 0.05 | 0.02 | 1.0x | 6 | 8% |
| 볼린저 밴드 돌파 n=20, k=2.8 |
-0.2% | -3.0% | -0.15 | -0.06 | 1.0x | 6 | 4% |
| EMA 크로스오버 fast=32, slow=163 |
-0.6% | -5.9% | -0.20 | -0.09 | 1.0x | 8 | 42% |
| SMA 크로스오버 fast=33, slow=133 |
-1.1% | -7.8% | -0.32 | -0.14 | 0.9x | 16 | 42% |
| Donchian 채널 돌파 entryN=96, exitN=25 |
-0.7% | -4.4% | -0.34 | -0.15 | 1.0x | 8 | 24% |
| ROC 모멘텀 n=144, threshold=0.07 |
-0.2% | -1.0% | -0.49 | -0.17 | 1.0x | 2 | 0% |
| Supertrend period=19, mult=4.8 |
-3.4% | -20.9% | -0.88 | -0.16 | 0.8x | 25 | 54% |
| MACD fast=19, slow=36, signal=19 |
-6.9% | -34.0% | -1.49 | -0.20 | 0.7x | 64 | 46% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-7.3% | -36.5% | -1.60 | -0.20 | 0.6x | 50 | 57% |
| Buy and hold | -1.5% | -19.0% | -0.19 | -0.08 | 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, 17-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)