Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2029 Term Corporate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2029 Term Corporate ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.3%, drawdown -22.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.65, 1% exposure.
CAGR reference leader: Supertrend — CAGR 0.8%, MDD -11.7%, exposure 48%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 0.3%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=40, threshold=0.08 |
0.3% | -0.5% | 0.65 | 0.70 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=30, k=2.7 |
0.6% | -3.2% | 0.37 | 0.18 | 1.0x | 6 | 8% |
| Supertrend period=23, mult=3.6 |
0.8% | -11.7% | 0.21 | 0.07 | 1.1x | 26 | 48% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=2 |
0.1% | -3.8% | 0.09 | 0.03 | 1.0x | 8 | 5% |
| SMA 크로스오버 fast=27, slow=128 |
-0.4% | -9.8% | -0.12 | -0.04 | 1.0x | 14 | 45% |
| MACD fast=31, slow=59, signal=28 |
-1.1% | -10.3% | -0.25 | -0.11 | 0.9x | 35 | 47% |
| Donchian 채널 돌파 entryN=45, exitN=30 |
-0.7% | -9.4% | -0.28 | -0.08 | 0.9x | 16 | 23% |
| EMA 크로스오버 fast=49, slow=168 |
-1.0% | -12.8% | -0.31 | -0.08 | 0.9x | 10 | 47% |
| ADX / DI 방향성 period=26, threshold=50 |
-0.9% | -10.5% | -0.46 | -0.09 | 0.9x | 6 | 7% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.4% | -22.2% | -0.59 | -0.11 | 0.8x | 52 | 47% |
| Buy and hold | -1.3% | -22.9% | -0.15 | -0.06 | 0.9x | 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 40-day return is greater than 8%
- Sell — Sell when the 40-day return drops to 8% or below