Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares New York Muni Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares New York Muni Bond ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -14.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.0%, MDD -16.6%, Sharpe 0.04, 82% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=104 |
0.0% | -16.6% | 0.04 | 0.00 | 1.0x | 39 | 82% |
| ROC 모멘텀 Hold-like · Exposure 99% n=27, threshold=-0.1 |
0.0% | -17.3% | 0.03 | 0.00 | 1.0x | 3 | 99% |
| ADX / DI 방향성 period=33, threshold=36 |
0.0% | -1.6% | 0.02 | 0.00 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=55, slow=215 |
-0.3% | -13.3% | -0.04 | -0.02 | 0.9x | 20 | 59% |
| EMA 크로스오버 fast=57, slow=193 |
-0.6% | -19.4% | -0.10 | -0.03 | 0.9x | 21 | 60% |
| Supertrend period=22, mult=4.2 |
-0.9% | -15.9% | -0.14 | -0.05 | 0.9x | 74 | 64% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
-0.6% | -11.9% | -0.19 | -0.05 | 0.9x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=3.2 |
-1.0% | -22.8% | -0.29 | -0.05 | 0.8x | 50 | 22% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.9% | -42.3% | -0.64 | -0.07 | 0.6x | 164 | 57% |
| MACD fast=17, slow=57, signal=18 |
-4.1% | -54.6% | -0.90 | -0.08 | 0.5x | 188 | 51% |
| Buy and hold | 0.2% | -14.8% | 0.06 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 104 days