Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2031 Term Corporate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2031 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 ADX / DI 방향성 (CAGR 0.0%, MDD -1.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.8%, drawdown -26.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -1.5%, Sharpe 0.27, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 0.0%, MDD -1.4%, exposure 6%).
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=11, k=2.7 |
0.4% | -1.5% | 0.27 | 0.27 | 1.0x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=2.8 |
0.4% | -3.8% | 0.26 | 0.09 | 1.0x | 4 | 6% |
| EMA 크로스오버 fast=137, slow=180 |
0.2% | -5.5% | 0.09 | 0.04 | 1.0x | 2 | 45% |
| ADX / DI 방향성 period=30, threshold=37 |
0.0% | -1.4% | 0.06 | 0.03 | 1.0x | 2 | 6% |
| Donchian 채널 돌파 entryN=107, exitN=12 |
0.0% | -3.6% | 0.03 | 0.01 | 1.0x | 4 | 6% |
| Supertrend period=12, mult=3.7 |
-1.0% | -11.3% | -0.21 | -0.09 | 0.9x | 20 | 47% |
| SMA 크로스오버 fast=24, slow=115 |
-1.0% | -8.6% | -0.23 | -0.12 | 0.9x | 12 | 40% |
| ROC 모멘텀 n=40, threshold=-0.04 |
-3.1% | -20.5% | -0.49 | -0.15 | 0.9x | 13 | 85% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.2% | -20.8% | -0.85 | -0.20 | 0.8x | 40 | 42% |
| MACD fast=16, slow=26, signal=16 |
-8.2% | -35.4% | -1.65 | -0.23 | 0.6x | 76 | 47% |
| Buy and hold | -3.8% | -26.7% | -0.50 | -0.14 | 0.8x | 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 11-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 11-day middle average