Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 0-5 Year High Yield Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 0-5 Year High Yield Corporate Bond ETF. 7 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 -0.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.4%, drawdown -26.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.7%, Sharpe 0.19, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 0.1%, MDD -0.7%, 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=39, threshold=0.08 |
0.1% | -0.7% | 0.19 | 0.10 | 1.0x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=3.7 |
-0.0% | -1.4% | -0.01 | -0.01 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=33, threshold=23 |
-0.2% | -2.8% | -0.30 | -0.06 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=46, k=3.1 |
-0.1% | -1.6% | -0.34 | -0.08 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=25, slow=207 |
-0.9% | -16.5% | -0.35 | -0.05 | 0.9x | 20 | 41% |
| SMA 크로스오버 fast=27, slow=123 |
-1.1% | -14.5% | -0.35 | -0.07 | 0.9x | 28 | 44% |
| Donchian 채널 돌파 entryN=66, exitN=55 |
-1.0% | -14.0% | -0.36 | -0.07 | 0.9x | 22 | 38% |
| Supertrend period=29, mult=4.5 |
-3.1% | -33.2% | -0.73 | -0.09 | 0.7x | 57 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.3% | -50.5% | -1.34 | -0.11 | 0.5x | 106 | 54% |
| MACD fast=17, slow=37, signal=16 |
-8.0% | -65.7% | -2.01 | -0.12 | 0.3x | 182 | 47% |
| Buy and hold | -1.4% | -26.3% | -0.19 | -0.05 | 0.8x | 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 39-day return is greater than 8%
- Sell — Sell when the 39-day return drops to 8% or below