Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares National Muni Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares National Muni Bond ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -14.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.1%, MDD -4.4%, Sharpe 0.10, 3% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=35, k=3.3 |
0.1% | -4.4% | 0.10 | 0.02 | 1.0x | 6 | 3% |
| Donchian 채널 돌파 entryN=84, exitN=89 |
-0.0% | -15.6% | 0.01 | -0.00 | 1.0x | 22 | 52% |
| SMA 크로스오버 fast=56, slow=157 |
-0.1% | -15.1% | -0.01 | -0.01 | 1.0x | 28 | 57% |
| ROC 모멘텀 n=42, threshold=0.09 |
-0.0% | -0.5% | -0.02 | -0.00 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=73, slow=216 |
-0.3% | -16.4% | -0.07 | -0.02 | 0.9x | 17 | 58% |
| ADX / DI 방향성 period=41, threshold=37 |
-0.2% | -3.6% | -0.29 | -0.04 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=4 |
-0.7% | -14.0% | -0.38 | -0.05 | 0.9x | 46 | 20% |
| Supertrend period=14, mult=4.5 |
-1.5% | -25.8% | -0.45 | -0.06 | 0.7x | 84 | 57% |
| MACD fast=31, slow=64, signal=21 |
-2.2% | -35.4% | -0.66 | -0.06 | 0.7x | 130 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.0% | -44.8% | -0.89 | -0.07 | 0.6x | 152 | 55% |
| Buy and hold | 0.2% | -14.4% | 0.06 | 0.01 | 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 35-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 35-day middle average