Trend-Following Backtester · Guide · backtest 한국어
etf · US
VictoryShares Short-Term Bond ETF backtest
10 trend-following strategies were compared on the full daily history of VictoryShares Short-Term Bond ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 0.0%, drawdown -7.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -4.8%, Sharpe 0.22, 84% exposure.
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 n=137, threshold=-0.02 |
0.4% | -4.8% | 0.22 | 0.08 | 1.0x | 5 | 84% |
| SMA 크로스오버 fast=6, slow=272 |
-0.1% | -7.0% | -0.06 | -0.02 | 1.0x | 12 | 60% |
| EMA 크로스오버 fast=40, slow=211 |
-0.1% | -6.0% | -0.08 | -0.02 | 1.0x | 6 | 55% |
| Donchian 채널 돌파 entryN=38, exitN=76 |
-0.4% | -5.2% | -0.21 | -0.07 | 1.0x | 14 | 60% |
| 볼린저 밴드 돌파 n=49, k=3 |
-0.2% | -3.2% | -0.23 | -0.05 | 1.0x | 6 | 10% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=15, mult=3.7 |
-0.4% | -4.3% | -0.37 | -0.09 | 1.0x | 12 | 16% |
| ADX / DI 방향성 period=51, threshold=33 |
-0.1% | -1.0% | -0.39 | -0.11 | 1.0x | 2 | 3% |
| Supertrend period=29, mult=4.3 |
-1.1% | -11.3% | -0.66 | -0.10 | 0.9x | 28 | 50% |
| MACD fast=27, slow=73, signal=22 |
-3.4% | -26.5% | -1.63 | -0.13 | 0.7x | 64 | 47% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.2% | -31.1% | -2.02 | -0.13 | 0.7x | 74 | 48% |
| Buy and hold | 0.0% | -7.6% | 0.02 | 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 137-day return is greater than -2%
- Sell — Sell when the 137-day return drops to -2% or below