Trend-Following Backtester · Guide · backtest 한국어
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Yuanta U.S. Treasury 20 Year Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta U.S. Treasury 20 Year Bond ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -3.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -54.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -3.6%, Sharpe 0.28, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.0%, MDD -16.8%, exposure 13%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 51.1%p (CAGR 0.5%, MDD -3.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.3 |
0.5% | -3.6% | 0.28 | 0.13 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=132, exitN=46 |
1.0% | -16.8% | 0.19 | 0.06 | 1.1x | 6 | 13% |
| ADX / DI 방향성 period=33, threshold=18 |
0.7% | -16.8% | 0.15 | 0.04 | 1.1x | 16 | 10% |
| EMA 크로스오버 fast=46, slow=198 |
0.6% | -20.7% | 0.12 | 0.03 | 1.1x | 8 | 29% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=10, mult=4 |
-0.3% | -21.8% | -0.01 | -0.01 | 1.0x | 26 | 13% |
| SMA 크로스오버 fast=47, slow=208 |
-0.9% | -26.7% | -0.05 | -0.03 | 0.9x | 12 | 37% |
| ROC 모멘텀 n=53, threshold=0.14 |
-0.3% | -11.6% | -0.07 | -0.03 | 1.0x | 4 | 2% |
| MACD fast=27, slow=49, signal=29 |
-2.2% | -40.9% | -0.18 | -0.05 | 0.8x | 63 | 46% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.4% | -33.0% | -0.21 | -0.07 | 0.8x | 64 | 46% |
| Supertrend period=22, mult=4.5 |
-2.8% | -33.5% | -0.29 | -0.08 | 0.8x | 58 | 41% |
| Buy and hold | -4.2% | -54.6% | -0.25 | -0.08 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 14-day middle average