Trend-Following Backtester · Guide · backtest 한국어
etf · US
Virtus Newfleet Multi-Sector Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Virtus Newfleet Multi-Sector Bond ETF. 8 beat buy-and-hold CAGR; Supertrend 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 -0.9%, drawdown -19.2%).
Sharpe leader (same as main): Supertrend — CAGR 1.3%, MDD -5.4%, Sharpe 0.39, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 0.1%, MDD -0.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4.6 |
1.3% | -5.4% | 0.39 | 0.24 | 1.2x | 16 | 49% |
| ROC 모멘텀 n=85, threshold=0.09 |
0.1% | -0.7% | 0.27 | 0.12 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=26, mult=2.8 |
0.1% | -1.6% | 0.14 | 0.06 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=47, exitN=48 |
0.0% | -8.2% | 0.02 | 0.00 | 1.0x | 14 | 47% |
| 볼린저 밴드 돌파 n=12, k=3 |
-0.0% | -1.9% | -0.04 | -0.01 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=16, slow=143 |
-0.5% | -10.6% | -0.13 | -0.04 | 1.0x | 18 | 51% |
| EMA 크로스오버 fast=52, slow=75 |
-0.8% | -14.0% | -0.24 | -0.05 | 0.9x | 18 | 51% |
| ADX / DI 방향성 period=16, threshold=39 |
-0.3% | -3.4% | -0.29 | -0.08 | 1.0x | 8 | 4% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.1% | -15.1% | -0.31 | -0.07 | 0.9x | 46 | 58% |
| MACD fast=29, slow=54, signal=50 |
-1.5% | -18.0% | -0.48 | -0.08 | 0.8x | 58 | 46% |
| Buy and hold | -0.9% | -19.2% | -0.15 | -0.05 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)