Trend-Following Backtester · Guide · backtest 한국어
etf · US
Simplify Interest Rate Hedge ETF backtest
10 trend-following strategies were compared on the full daily history of Simplify Interest Rate Hedge ETF. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.5%, MDD -19.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.4%, drawdown -66.2%).
Sharpe leader (same as main): MACD — CAGR 17.3%, MDD -32.3%, Sharpe 0.70, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 11.5%, MDD -19.6%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=32, signal=15 |
17.3% | -32.3% | 0.70 | 0.53 | 2.3x | 56 | 54% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
11.5% | -19.6% | 0.65 | 0.59 | 1.8x | 14 | 20% |
| Parabolic SAR step=0.02, maxStep=0.08 |
9.5% | -36.1% | 0.46 | 0.26 | 1.6x | 80 | 48% |
| Donchian 채널 돌파 entryN=97, exitN=14 |
6.8% | -32.9% | 0.44 | 0.21 | 1.4x | 14 | 19% |
| SMA 크로스오버 fast=18, slow=167 |
3.7% | -46.6% | 0.27 | 0.08 | 1.2x | 13 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=17, mult=2.2 |
3.7% | -37.7% | 0.27 | 0.10 | 1.2x | 36 | 31% |
| ROC 모멘텀 n=55, threshold=-0.05 |
2.6% | -58.2% | 0.24 | 0.04 | 1.1x | 73 | 67% |
| Supertrend period=23, mult=4.7 |
0.0% | -36.0% | 0.14 | 0.00 | 1.0x | 25 | 47% |
| ADX / DI 방향성 period=20, threshold=18 |
0.5% | -45.9% | 0.12 | 0.01 | 1.0x | 26 | 19% |
| EMA 크로스오버 fast=38, slow=108 |
-1.2% | -56.6% | 0.11 | -0.02 | 0.9x | 15 | 49% |
| Buy and hold | 0.4% | -66.2% | 0.25 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/32) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line