Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Fallen Angels USD Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Fallen Angels USD Bond ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.5%, MDD -1.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.5%, drawdown -30.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -1.7%, Sharpe 0.52, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.6%, MDD -11.3%, exposure 65%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 28.3%p (CAGR 0.5%, MDD -1.7%, exposure 1%).
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=42, threshold=0.14 |
0.5% | -1.7% | 0.52 | 0.31 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=25, k=3.3 |
0.3% | -1.8% | 0.38 | 0.16 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=43, exitN=78 |
0.6% | -11.3% | 0.13 | 0.05 | 1.1x | 16 | 65% |
| SMA 크로스오버 fast=6, slow=175 |
-0.2% | -12.9% | -0.03 | -0.02 | 1.0x | 28 | 58% |
| EMA 크로스오버 fast=27, slow=114 |
-0.3% | -13.1% | -0.04 | -0.03 | 1.0x | 20 | 60% |
| Supertrend period=32, mult=4.6 |
-0.9% | -21.9% | -0.14 | -0.04 | 0.9x | 45 | 56% |
| ADX / DI 방향성 period=37, threshold=18 |
-0.4% | -9.3% | -0.16 | -0.05 | 1.0x | 18 | 16% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=9, mult=3.4 |
-0.6% | -10.6% | -0.20 | -0.06 | 0.9x | 30 | 24% |
| MACD fast=18, slow=25, signal=16 |
-3.8% | -33.0% | -0.69 | -0.11 | 0.7x | 132 | 49% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-3.8% | -32.5% | -0.69 | -0.12 | 0.7x | 136 | 56% |
| Buy and hold | 0.5% | -30.0% | 0.11 | 0.02 | 1.1x | 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 42-day return is greater than 14%
- Sell — Sell when the 42-day return drops to 14% or below