Trend-Following Backtester · Guide · backtest 한국어
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Capital ICE 25+ Year US Treasury Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of Capital ICE 25+ Year US Treasury Exchange Traded Fund. 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 -0.2%, MDD -7.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -4.8%, drawdown -55.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -18.1%, Sharpe 0.11, 13% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR -0.2%, MDD -7.2%, 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=35, k=2.7 |
0.5% | -18.1% | 0.11 | 0.03 | 1.0x | 14 | 13% |
| EMA 크로스오버 fast=57, slow=214 |
0.1% | -21.0% | 0.06 | 0.01 | 1.0x | 6 | 19% |
| ADX / DI 방향성 period=15, threshold=30 |
-0.1% | -17.0% | 0.01 | -0.01 | 1.0x | 10 | 4% |
| Donchian 채널 돌파 entryN=108, exitN=37 |
-0.5% | -21.6% | -0.01 | -0.02 | 1.0x | 12 | 18% |
| SMA 크로스오버 fast=53, slow=208 |
-0.7% | -25.5% | -0.02 | -0.03 | 0.9x | 8 | 32% |
| ROC 모멘텀 n=13, threshold=0.12 |
-0.2% | -7.2% | -0.04 | -0.03 | 1.0x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=13, mult=3.2 |
-1.9% | -27.6% | -0.25 | -0.07 | 0.9x | 18 | 5% |
| MACD fast=16, slow=34, signal=23 |
-5.5% | -51.4% | -0.42 | -0.11 | 0.6x | 84 | 47% |
| Supertrend period=17, mult=4.5 |
-6.5% | -50.6% | -0.54 | -0.13 | 0.6x | 58 | 44% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-10.7% | -66.1% | -0.97 | -0.16 | 0.4x | 120 | 45% |
| Buy and hold | -4.8% | -55.6% | -0.23 | -0.09 | 0.7x | 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 (2.7× volatility)
- Sell — Sell when the close falls back to the 35-day middle average