Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 0-1 Year Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 0-1 Year Treasury Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -1.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -1.2%, Sharpe 0.07, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=16, threshold=-0.08 |
0.1% | -1.2% | 0.07 | 0.04 | 1.0x | 1 | 100% |
| ADX / DI 방향성 period=32, threshold=37 |
-0.1% | -1.0% | -0.32 | -0.05 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
-0.1% | -1.0% | -0.32 | -0.05 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=27, mult=3.6 |
-0.1% | -1.2% | -0.37 | -0.05 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=64, slow=395 |
-0.4% | -6.9% | -0.53 | -0.05 | 0.9x | 14 | 55% |
| Donchian 채널 돌파 entryN=114, exitN=104 |
-0.7% | -12.8% | -0.82 | -0.05 | 0.9x | 24 | 56% |
| EMA 크로스오버 fast=53, slow=186 |
-1.3% | -22.8% | -1.29 | -0.06 | 0.8x | 46 | 58% |
| Supertrend period=6, mult=5 |
-3.5% | -49.7% | -2.56 | -0.07 | 0.5x | 111 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.9% | -54.1% | -2.74 | -0.07 | 0.5x | 139 | 49% |
| MACD fast=40, slow=66, signal=28 |
-7.3% | -77.2% | -3.93 | -0.09 | 0.2x | 273 | 48% |
| Buy and hold | 0.1% | -1.2% | 0.08 | 0.04 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 16-day return is greater than -8%
- Sell — Sell when the 16-day return drops to -8% or below