Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Treasury Bond ETF. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -4.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.7%, drawdown -23.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -4.6%, Sharpe 0.15, 21% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 19.1%p (CAGR 0.1%, MDD -4.6%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=67, threshold=16 |
0.3% | -4.6% | 0.15 | 0.07 | 1.0x | 12 | 21% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
0.1% | -4.6% | 0.05 | 0.02 | 1.0x | 8 | 4% |
| Donchian 채널 돌파 entryN=111, exitN=36 |
-0.1% | -9.5% | -0.04 | -0.01 | 1.0x | 18 | 28% |
| SMA 크로스오버 fast=44, slow=202 |
-0.4% | -12.0% | -0.11 | -0.03 | 0.9x | 24 | 45% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=3.8 |
-0.3% | -8.5% | -0.13 | -0.03 | 1.0x | 20 | 11% |
| ROC 모멘텀 Hold-like · Exposure 97% n=48, threshold=-0.05 |
-1.0% | -26.8% | -0.20 | -0.04 | 0.9x | 13 | 97% |
| EMA 크로스오버 fast=20, slow=126 |
-0.8% | -18.2% | -0.22 | -0.04 | 0.9x | 32 | 48% |
| Supertrend period=20, mult=5 |
-1.2% | -21.5% | -0.36 | -0.06 | 0.8x | 40 | 44% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.9% | -51.6% | -1.34 | -0.09 | 0.5x | 120 | 44% |
| MACD fast=27, slow=48, signal=15 |
-5.2% | -54.0% | -1.37 | -0.10 | 0.5x | 146 | 47% |
| Buy and hold | -0.7% | -23.7% | -0.13 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 67-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)