Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 0-5 Year Investment Grade Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 0-5 Year Investment Grade Corporate Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR -0.0%, drawdown -12.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -10.4%, Sharpe -0.05, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.1%, MDD -3.3%, exposure 8%.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=19, threshold=-0.03 |
-0.1% | -10.4% | -0.05 | -0.01 | 1.0x | 3 | 99% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=26, mult=4 |
-0.1% | -3.5% | -0.11 | -0.03 | 1.0x | 10 | 11% |
| 볼린저 밴드 돌파 n=75, k=3 |
-0.1% | -3.3% | -0.13 | -0.03 | 1.0x | 6 | 8% |
| ADX / DI 방향성 period=32, threshold=25 |
-0.1% | -2.4% | -0.21 | -0.04 | 1.0x | 6 | 6% |
| EMA 크로스오버 fast=39, slow=161 |
-0.7% | -11.0% | -0.37 | -0.06 | 0.9x | 16 | 50% |
| Supertrend period=36, mult=5 |
-0.9% | -10.8% | -0.45 | -0.08 | 0.9x | 38 | 56% |
| Donchian 채널 돌파 entryN=118, exitN=46 |
-0.7% | -9.1% | -0.47 | -0.07 | 0.9x | 20 | 35% |
| SMA 크로스오버 fast=24, slow=203 |
-1.0% | -14.0% | -0.51 | -0.07 | 0.9x | 18 | 51% |
| MACD fast=49, slow=78, signal=49 |
-1.6% | -18.9% | -0.88 | -0.09 | 0.8x | 44 | 44% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.2% | -42.0% | -1.92 | -0.10 | 0.6x | 112 | 48% |
| Buy and hold | -0.0% | -12.7% | 0.01 | -0.00 | 1.0x | 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 19-day return is greater than -3%
- Sell — Sell when the 19-day return drops to -3% or below