Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Short-Term U.S. Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Short-Term U.S. Treasury ETF. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.0%, MDD -0.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.3%, drawdown -7.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.0%, MDD -0.7%, Sharpe 0.01, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 7.2%p (CAGR 0.0%, MDD -0.7%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=9, mult=4 |
0.0% | -0.7% | 0.01 | 0.00 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
-0.1% | -2.5% | -0.13 | -0.02 | 1.0x | 6 | 5% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.01 |
-0.3% | -9.0% | -0.22 | -0.04 | 0.9x | 3 | 100% |
| EMA 크로스오버 fast=56, slow=180 |
-0.3% | -5.3% | -0.29 | -0.06 | 1.0x | 14 | 55% |
| Donchian 채널 돌파 entryN=147, exitN=130 |
-0.3% | -6.9% | -0.30 | -0.05 | 0.9x | 14 | 45% |
| ADX / DI 방향성 period=39, threshold=35 |
-0.1% | -1.2% | -0.43 | -0.06 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=53, slow=197 |
-0.7% | -10.7% | -0.64 | -0.06 | 0.9x | 20 | 53% |
| Supertrend period=18, mult=4.8 |
-1.2% | -17.7% | -0.93 | -0.07 | 0.8x | 40 | 53% |
| MACD fast=50, slow=93, signal=71 |
-2.2% | -30.9% | -1.47 | -0.07 | 0.7x | 70 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.2% | -49.7% | -2.45 | -0.08 | 0.5x | 125 | 43% |
| Buy and hold | -0.3% | -7.9% | -0.17 | -0.03 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 16-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average