Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab 5-10 Year Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab 5-10 Year Corporate Bond ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -1.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.7%, drawdown -23.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -1.9%, Sharpe 0.51, 5% exposure.
CAGR reference leader: Supertrend — CAGR 1.4%, MDD -8.5%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 0.7%, MDD -1.9%, exposure 5%).
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=20, k=3 |
0.7% | -1.9% | 0.51 | 0.37 | 1.0x | 4 | 5% |
| Supertrend period=24, mult=4.3 |
1.4% | -8.5% | 0.34 | 0.16 | 1.1x | 26 | 45% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=3.9 |
0.5% | -4.0% | 0.28 | 0.12 | 1.0x | 8 | 10% |
| ROC 모멘텀 n=12, threshold=0.05 |
0.3% | -2.4% | 0.22 | 0.11 | 1.0x | 6 | 1% |
| SMA 크로스오버 fast=35, slow=152 |
-0.8% | -11.9% | -0.21 | -0.06 | 0.9x | 12 | 45% |
| Donchian 채널 돌파 entryN=45, exitN=69 |
-1.3% | -14.4% | -0.31 | -0.09 | 0.9x | 16 | 49% |
| EMA 크로스오버 fast=20, slow=55 |
-1.6% | -13.1% | -0.35 | -0.12 | 0.9x | 26 | 48% |
| ADX / DI 방향성 period=17, threshold=39 |
-0.4% | -3.5% | -0.43 | -0.12 | 1.0x | 6 | 2% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-3.1% | -24.6% | -0.71 | -0.13 | 0.8x | 54 | 50% |
| MACD fast=16, slow=49, signal=19 |
-5.4% | -36.0% | -1.18 | -0.15 | 0.7x | 80 | 46% |
| Buy and hold | -1.7% | -23.7% | -0.19 | -0.07 | 0.9x | 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 20-day average (3× volatility)
- Sell — Sell when the close falls back to the 20-day middle average