Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2027 Term Corporate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2027 Term Corporate ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.4%, drawdown -18.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -2.9%, Sharpe 0.68, 10% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 1.0%, MDD -16.7%, exposure 56%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR -0.0%, MDD -0.6%, exposure 0%).
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=43, k=3.1 |
0.9% | -2.9% | 0.68 | 0.33 | 1.1x | 4 | 10% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=21, mult=3.7 |
0.6% | -3.4% | 0.41 | 0.17 | 1.1x | 6 | 11% |
| Donchian 채널 돌파 entryN=104, exitN=36 |
0.6% | -6.2% | 0.33 | 0.10 | 1.1x | 8 | 25% |
| ADX / DI 방향성 period=35, threshold=35 |
0.3% | -2.6% | 0.28 | 0.10 | 1.0x | 2 | 4% |
| EMA 크로스오버 fast=108, slow=181 |
1.0% | -16.7% | 0.26 | 0.06 | 1.1x | 4 | 56% |
| SMA 크로스오버 fast=38, slow=326 |
1.0% | -16.7% | 0.25 | 0.06 | 1.1x | 6 | 54% |
| Supertrend period=26, mult=3.3 |
0.7% | -9.7% | 0.21 | 0.07 | 1.1x | 30 | 53% |
| ROC 모멘텀 n=45, threshold=0.13 |
-0.0% | -0.6% | -0.02 | -0.01 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.2% | -23.9% | -0.64 | -0.09 | 0.8x | 68 | 50% |
| MACD fast=16, slow=38, signal=19 |
-4.9% | -36.0% | -1.38 | -0.14 | 0.6x | 101 | 49% |
| Buy and hold | -0.4% | -18.2% | -0.05 | -0.02 | 1.0x | 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 43-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 43-day middle average