Trend-Following Backtester · Guide · backtest 한국어
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Cathay Bloomberg Barclay U.S. Treasury 20+ Year Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Cathay Bloomberg Barclay U.S. Treasury 20+ Year Bond ETF. 9 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 0.7%, MDD -2.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.9%, drawdown -54.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -2.5%, Sharpe 0.34, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.0%, MDD -19.3%, exposure 31%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR 0.7%, MDD -2.5%, 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 |
0.7% | -2.5% | 0.34 | 0.29 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=51, slow=281 |
1.0% | -19.3% | 0.16 | 0.05 | 1.1x | 7 | 31% |
| EMA 크로스오버 fast=46, slow=193 |
0.4% | -21.6% | 0.09 | 0.02 | 1.0x | 8 | 30% |
| ADX / DI 방향성 period=36, threshold=15 |
0.0% | -15.2% | 0.04 | 0.00 | 1.0x | 18 | 11% |
| ROC 모멘텀 n=13, threshold=0.11 |
-0.2% | -7.3% | -0.05 | -0.03 | 1.0x | 4 | 0% |
| Donchian 채널 돌파 entryN=80, exitN=22 |
-1.2% | -23.3% | -0.13 | -0.05 | 0.9x | 24 | 19% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=17, mult=3.1 |
-1.4% | -32.0% | -0.18 | -0.04 | 0.9x | 42 | 17% |
| MACD fast=18, slow=58, signal=17 |
-2.8% | -43.6% | -0.23 | -0.06 | 0.8x | 78 | 46% |
| Supertrend period=9, mult=4.1 |
-3.6% | -41.8% | -0.34 | -0.09 | 0.7x | 74 | 43% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-6.2% | -49.2% | -0.61 | -0.13 | 0.6x | 132 | 46% |
| Buy and hold | -3.9% | -54.6% | -0.22 | -0.07 | 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