Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MBS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MBS ETF. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -1.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.4%, drawdown -22.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -9.3%, Sharpe -0.02, 53% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.0%, MDD -1.3%, exposure 2%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR -0.0%, MDD -1.3%, exposure 2%).
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=53, slow=196 |
-0.1% | -9.3% | -0.02 | -0.01 | 1.0x | 22 | 53% |
| ADX / DI 방향성 period=37, threshold=35 |
-0.0% | -1.3% | -0.03 | -0.01 | 1.0x | 2 | 2% |
| ROC 모멘텀 Hold-like · Exposure 99% n=61, threshold=-0.11 |
-0.4% | -24.5% | -0.07 | -0.02 | 0.9x | 3 | 99% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=3.7 |
-0.1% | -3.5% | -0.23 | -0.03 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=93, exitN=77 |
-0.8% | -18.2% | -0.27 | -0.04 | 0.9x | 26 | 49% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-0.1% | -1.8% | -0.29 | -0.05 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=49, slow=134 |
-1.0% | -21.6% | -0.32 | -0.05 | 0.8x | 30 | 53% |
| Supertrend period=31, mult=5 |
-1.2% | -23.7% | -0.36 | -0.05 | 0.8x | 50 | 54% |
| MACD fast=40, slow=67, signal=38 |
-2.5% | -40.3% | -0.74 | -0.06 | 0.6x | 108 | 47% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.3% | -57.4% | -1.30 | -0.08 | 0.4x | 170 | 50% |
| Buy and hold | -0.4% | -22.9% | -0.07 | -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 53-day average price crosses above the 196-day average
- Sell — Sell (to cash) when the 53-day average falls below the 196-day average