Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 20+ Year Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 20+ Year Treasury Bond ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -2.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.0%, drawdown -52.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -5.3%, Sharpe 0.25, 0% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 0.4%, MDD -32.1%, exposure 49%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 0.0%, MDD -2.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=3.5 |
0.4% | -5.3% | 0.25 | 0.08 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=3.7 |
0.3% | -10.0% | 0.11 | 0.03 | 1.1x | 10 | 1% |
| EMA 크로스오버 fast=52, slow=117 |
0.4% | -32.1% | 0.09 | 0.01 | 1.1x | 42 | 49% |
| SMA 크로스오버 fast=43, slow=162 |
0.4% | -31.5% | 0.09 | 0.01 | 1.1x | 42 | 50% |
| MACD fast=30, slow=50, signal=28 |
0.1% | -24.7% | 0.06 | 0.00 | 1.0x | 152 | 50% |
| Donchian 채널 돌파 entryN=108, exitN=82 |
0.1% | -28.0% | 0.06 | 0.00 | 1.0x | 32 | 44% |
| ROC 모멘텀 n=27, threshold=0.19 |
0.0% | -2.9% | 0.02 | 0.01 | 1.0x | 4 | 0% |
| ADX / DI 방향성 period=34, threshold=19 |
-1.0% | -25.9% | -0.12 | -0.04 | 0.8x | 46 | 10% |
| Supertrend period=17, mult=4.4 |
-1.8% | -42.7% | -0.14 | -0.04 | 0.6x | 110 | 46% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.1% | -57.7% | -0.27 | -0.05 | 0.5x | 204 | 50% |
| Buy and hold | 0.0% | -52.1% | 0.07 | 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 20-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 20-day middle average