Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab US Aggregate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab US Aggregate Bond ETF. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.7%, drawdown -24.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.21, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 0.1%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=4, threshold=0.04 |
0.1% | -0.5% | 0.21 | 0.12 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
0.0% | -4.3% | 0.02 | 0.00 | 1.0x | 6 | 5% |
| SMA 크로스오버 fast=39, slow=172 |
-0.2% | -13.0% | -0.05 | -0.02 | 1.0x | 22 | 48% |
| EMA 크로스오버 fast=57, slow=179 |
-0.6% | -12.2% | -0.16 | -0.05 | 0.9x | 20 | 46% |
| ADX / DI 방향성 period=21, threshold=39 |
-0.0% | -0.9% | -0.19 | -0.05 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=29, mult=3.9 |
-0.2% | -3.6% | -0.27 | -0.05 | 1.0x | 4 | 1% |
| Supertrend period=31, mult=4.7 |
-1.3% | -18.7% | -0.40 | -0.07 | 0.8x | 54 | 47% |
| Donchian 채널 돌파 entryN=97, exitN=39 |
-1.1% | -19.9% | -0.42 | -0.05 | 0.9x | 24 | 31% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.3% | -49.1% | -1.28 | -0.09 | 0.5x | 134 | 49% |
| MACD fast=18, slow=51, signal=15 |
-5.8% | -59.6% | -1.61 | -0.10 | 0.4x | 170 | 48% |
| Buy and hold | -0.7% | -24.3% | -0.11 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than 4%
- Sell — Sell when the 4-day return drops to 4% or below