Trend-Following Backtester · Guide · backtest 한국어

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iShares TIPS Bond ETF backtest

10 trend-following strategies were compared on the full daily history of iShares TIPS Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 2003-12-05 ~ 2026-07-31daily bars 5,698 (22.7 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 0.2%, drawdown -22.0%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD -0.5%, Sharpe 0.18, 0% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 0.2%, MDD -14.5%, exposure 55%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=5, threshold=0.06
0.0%-0.5%0.180.071.0x20%
SMA 크로스오버
fast=43, slow=135
0.2%-14.5%0.060.011.0x4455%
EMA 크로스오버
fast=43, slow=209
0.0%-21.1%0.020.001.0x3253%
볼린저 밴드 돌파
n=20, k=3.2
-0.1%-5.3%-0.06-0.011.0x41%
Donchian 채널 돌파
entryN=106, exitN=37
-0.3%-18.3%-0.07-0.020.9x3435%
ADX / DI 방향성
period=34, threshold=28
-0.1%-3.8%-0.08-0.021.0x41%
Supertrend
period=21, mult=4.7
-1.1%-33.0%-0.23-0.030.8x8257%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=18, mult=3.7
-0.1%-1.7%-0.30-0.041.0x20%
Parabolic SAR
step=0.005, maxStep=0.38
-4.5%-65.7%-0.98-0.070.4x19253%
MACD
fast=19, slow=32, signal=25
-5.2%-70.8%-1.14-0.070.3x23650%
Buy and hold0.2%-22.0%0.070.011.1x1100%
1x 2004 2007 2010 2013 2016 2019 2022 2025 SMA 크로스오버ROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -5% -11% -16% -22% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버ROC 모멘텀
ROC 모멘텀 maximum drawdown -0.5% (2020-03-27 → 2020-03-30), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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