Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Long-Term U.S. Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Long-Term U.S. Treasury ETF. 10 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 0.8%, MDD -10.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.0%, drawdown -50.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.3%, MDD -14.8%, Sharpe 0.21, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 0.8%, MDD -10.9%, exposure 2%).
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=58, k=3.2 |
1.3% | -14.8% | 0.21 | 0.09 | 1.1x | 6 | 10% |
| ADX / DI 방향성 period=31, threshold=24 |
0.8% | -10.9% | 0.17 | 0.07 | 1.1x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=31, mult=3.1 |
0.3% | -14.8% | 0.08 | 0.02 | 1.0x | 10 | 7% |
| ROC 모멘텀 n=38, threshold=0.11 |
-0.2% | -12.9% | -0.00 | -0.01 | 1.0x | 10 | 3% |
| MACD fast=26, slow=44, signal=39 |
-0.9% | -21.9% | -0.02 | -0.04 | 0.9x | 36 | 44% |
| Donchian 채널 돌파 entryN=22, exitN=30 |
-1.4% | -25.9% | -0.08 | -0.06 | 0.9x | 26 | 45% |
| SMA 크로스오버 fast=20, slow=47 |
-2.0% | -25.7% | -0.14 | -0.08 | 0.9x | 36 | 40% |
| EMA 크로스오버 fast=32, slow=50 |
-3.3% | -34.1% | -0.29 | -0.10 | 0.8x | 24 | 37% |
| Supertrend period=22, mult=4 |
-3.8% | -36.6% | -0.37 | -0.10 | 0.8x | 34 | 39% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-6.5% | -43.3% | -0.61 | -0.15 | 0.6x | 86 | 47% |
| Buy and hold | -7.0% | -50.3% | -0.40 | -0.14 | 0.6x | 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 58-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 58-day middle average