Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2028 Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2028 Term Treasury ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -0.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.3%, drawdown -20.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.0%, MDD -0.9%, Sharpe -0.08, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR -0.1%, MDD -0.8%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=31 |
-0.0% | -0.9% | -0.08 | -0.04 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=19, mult=3.8 |
-0.1% | -1.2% | -0.16 | -0.07 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=21, k=2.8 |
-0.4% | -3.8% | -0.35 | -0.10 | 1.0x | 6 | 4% |
| ROC 모멘텀 n=91, threshold=0.05 |
-0.1% | -0.8% | -0.44 | -0.16 | 1.0x | 2 | 0% |
| Supertrend period=14, mult=5 |
-1.6% | -16.3% | -0.46 | -0.10 | 0.9x | 24 | 46% |
| EMA 크로스오버 fast=64, slow=178 |
-0.9% | -5.7% | -0.52 | -0.15 | 0.9x | 8 | 28% |
| SMA 크로스오버 fast=55, slow=283 |
-0.9% | -6.2% | -0.53 | -0.15 | 0.9x | 8 | 27% |
| Donchian 채널 돌파 entryN=107, exitN=52 |
-1.5% | -9.2% | -0.77 | -0.16 | 0.9x | 10 | 22% |
| MACD fast=17, slow=48, signal=10 |
-7.1% | -38.3% | -1.98 | -0.19 | 0.6x | 85 | 49% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-9.6% | -49.2% | -2.53 | -0.19 | 0.5x | 109 | 46% |
| Buy and hold | -2.3% | -20.8% | -0.42 | -0.11 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)