Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2031 Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2031 Term Treasury ETF. 9 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 -0.1%, MDD -1.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.1%, drawdown -25.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR -0.1%, MDD -1.7%, Sharpe -0.12, 3% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR -0.1%, MDD -1.7%, exposure 3%).
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=20, atrPeriod=22, mult=4 |
-0.1% | -1.7% | -0.12 | -0.06 | 1.0x | 2 | 3% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
-0.1% | -1.7% | -0.17 | -0.09 | 1.0x | 2 | 3% |
| EMA 크로스오버 fast=22, slow=219 |
-0.9% | -6.3% | -0.32 | -0.14 | 1.0x | 6 | 28% |
| SMA 크로스오버 fast=45, slow=140 |
-1.3% | -12.2% | -0.33 | -0.11 | 0.9x | 8 | 35% |
| Donchian 채널 돌파 entryN=45, exitN=34 |
-1.7% | -9.7% | -0.44 | -0.17 | 0.9x | 12 | 32% |
| ROC 모멘텀 n=31, threshold=-0.05 |
-3.6% | -18.8% | -0.50 | -0.19 | 0.8x | 5 | 93% |
| ADX / DI 방향성 period=28, threshold=32 |
-0.5% | -2.4% | -0.54 | -0.20 | 1.0x | 2 | 0% |
| Supertrend period=8, mult=5 |
-2.8% | -16.2% | -0.56 | -0.18 | 0.9x | 22 | 43% |
| MACD fast=30, slow=52, signal=22 |
-3.4% | -16.0% | -0.64 | -0.21 | 0.8x | 36 | 44% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-7.9% | -34.3% | -1.57 | -0.23 | 0.7x | 70 | 44% |
| Buy and hold | -5.1% | -25.1% | -0.68 | -0.20 | 0.8x | 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 20-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average