Trend-Following Backtester · Guide · backtest 한국어
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CTBC U.S. Treasury 20 Year Bond ETF backtest
10 trend-following strategies were compared on the full daily history of CTBC 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 ROC 모멘텀 (CAGR -0.3%, MDD -7.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.3%, drawdown -54.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -11.0%, Sharpe 0.32, 3% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR -0.3%, MDD -7.6%, 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=19, k=3.3 |
1.6% | -11.0% | 0.32 | 0.14 | 1.1x | 4 | 3% |
| ADX / DI 방향성 period=37, threshold=21 |
0.9% | -9.3% | 0.25 | 0.10 | 1.1x | 6 | 6% |
| Donchian 채널 돌파 entryN=111, exitN=42 |
-0.1% | -16.0% | 0.01 | -0.01 | 1.0x | 6 | 13% |
| EMA 크로스오버 fast=44, slow=201 |
-0.6% | -19.8% | -0.04 | -0.03 | 1.0x | 6 | 20% |
| ROC 모멘텀 n=5, threshold=0.06 |
-0.3% | -7.6% | -0.06 | -0.04 | 1.0x | 10 | 1% |
| SMA 크로스오버 fast=16, slow=211 |
-1.6% | -26.7% | -0.16 | -0.06 | 0.9x | 10 | 25% |
| MACD fast=37, slow=54, signal=12 |
-3.6% | -43.1% | -0.29 | -0.08 | 0.8x | 58 | 44% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=22, mult=3.1 |
-2.9% | -38.1% | -0.37 | -0.08 | 0.8x | 34 | 16% |
| Supertrend period=21, mult=4.9 |
-4.3% | -43.4% | -0.41 | -0.10 | 0.7x | 40 | 39% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-6.5% | -53.3% | -0.60 | -0.12 | 0.6x | 86 | 43% |
| Buy and hold | -5.3% | -54.3% | -0.30 | -0.10 | 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 19-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 19-day middle average