Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBoxx $ Investment Grade Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBoxx $ Investment Grade Corporate Bond ETF. 2 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 -1.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.2%, drawdown -30.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -5.8%, Sharpe 0.24, 4% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 0.2%, MDD -1.5%, 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=35, threshold=25 |
0.3% | -5.8% | 0.24 | 0.05 | 1.1x | 12 | 4% |
| ROC 모멘텀 n=13, threshold=0.13 |
0.2% | -1.5% | 0.19 | 0.13 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
0.1% | -3.7% | 0.11 | 0.03 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=46, exitN=69 |
-0.4% | -21.8% | -0.05 | -0.02 | 0.9x | 54 | 59% |
| SMA 크로스오버 fast=43, slow=150 |
-1.0% | -31.4% | -0.15 | -0.03 | 0.8x | 48 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=4 |
-0.1% | -1.4% | -0.15 | -0.04 | 1.0x | 2 | 0% |
| Supertrend period=19, mult=5 |
-0.9% | -25.8% | -0.17 | -0.04 | 0.8x | 74 | 49% |
| EMA 크로스오버 fast=59, slow=198 |
-1.3% | -30.0% | -0.21 | -0.04 | 0.7x | 36 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.0% | -57.0% | -0.57 | -0.05 | 0.5x | 212 | 53% |
| MACD fast=24, slow=48, signal=19 |
-3.8% | -62.6% | -0.71 | -0.06 | 0.4x | 240 | 52% |
| Buy and hold | 0.2% | -30.5% | 0.06 | 0.01 | 1.0x | 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, 35-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)