Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 1-3 Year Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 1-3 Year Treasury Bond ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.0%, drawdown -7.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.0%, MDD -1.6%, Sharpe 0.01, 2% 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.0% | -1.6% | 0.01 | 0.00 | 1.0x | 4 | 2% |
| ROC 모멘텀 Hold-like · Exposure 98% n=137, threshold=-0.04 |
-0.1% | -8.5% | -0.05 | -0.01 | 1.0x | 3 | 98% |
| EMA 크로스오버 fast=57, slow=277 |
-0.3% | -8.3% | -0.24 | -0.04 | 0.9x | 22 | 57% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=19, mult=4 |
-0.4% | -8.7% | -0.44 | -0.04 | 0.9x | 22 | 7% |
| ADX / DI 방향성 period=34, threshold=25 |
-0.2% | -5.3% | -0.45 | -0.04 | 1.0x | 10 | 4% |
| Donchian 채널 돌파 entryN=96, exitN=78 |
-0.8% | -17.2% | -0.57 | -0.04 | 0.8x | 38 | 47% |
| SMA 크로스오버 fast=33, slow=214 |
-0.8% | -17.0% | -0.58 | -0.05 | 0.8x | 40 | 51% |
| Supertrend period=15, mult=4.8 |
-1.7% | -34.3% | -1.09 | -0.05 | 0.7x | 82 | 51% |
| MACD fast=40, slow=65, signal=71 |
-2.6% | -46.7% | -1.57 | -0.06 | 0.5x | 126 | 48% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-4.6% | -67.4% | -2.42 | -0.07 | 0.3x | 208 | 50% |
| Buy and hold | 0.0% | -7.2% | 0.03 | 0.00 | 1.0x | 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 35-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 35-day middle average