Trend-Following Backtester · Guide · backtest 한국어
etf · US
FlexShares iBoxx 5 Year Target Duration TIPS Index Fund backtest
10 trend-following strategies were compared on the full daily history of FlexShares iBoxx 5 Year Target Duration TIPS Index Fund. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.5%, drawdown -20.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.0%, MDD -10.7%, Sharpe 0.03, 48% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 10.2%p (CAGR -0.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=198 |
0.0% | -10.7% | 0.03 | 0.00 | 1.0x | 18 | 48% |
| ROC 모멘텀 n=64, threshold=0.06 |
-0.0% | -0.5% | -0.05 | -0.02 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=54, slow=202 |
-0.3% | -13.5% | -0.08 | -0.02 | 1.0x | 18 | 44% |
| 볼린저 밴드 돌파 n=55, k=3.2 |
-0.1% | -5.6% | -0.08 | -0.02 | 1.0x | 8 | 8% |
| ADX / DI 방향성 period=39, threshold=25 |
-0.1% | -3.4% | -0.19 | -0.04 | 1.0x | 6 | 4% |
| Donchian 채널 돌파 entryN=73, exitN=78 |
-0.7% | -13.6% | -0.22 | -0.05 | 0.9x | 22 | 52% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=3.5 |
-0.2% | -2.8% | -0.33 | -0.07 | 1.0x | 2 | 0% |
| Supertrend period=17, mult=4.3 |
-1.7% | -28.0% | -0.51 | -0.06 | 0.8x | 64 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.2% | -48.6% | -1.18 | -0.09 | 0.5x | 121 | 50% |
| MACD fast=18, slow=49, signal=21 |
-4.6% | -50.1% | -1.25 | -0.09 | 0.5x | 139 | 49% |
| Buy and hold | -0.5% | -20.9% | -0.08 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 54-day average falls below the 198-day average