Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 25 Year Treasury STRIPS Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 25 Year Treasury STRIPS Bond ETF. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -3.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.2%, drawdown -66.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.2%, MDD -9.5%, Sharpe 0.26, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 57.4%p (CAGR 0.5%, MDD -3.9%, exposure 1%).
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 n=27, threshold=0.12 |
1.2% | -9.5% | 0.26 | 0.13 | 1.1x | 4 | 3% |
| ADX / DI 방향성 period=39, threshold=20 |
0.5% | -3.9% | 0.21 | 0.13 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
0.2% | -5.1% | 0.07 | 0.03 | 1.0x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=9, mult=3 |
0.0% | -11.4% | 0.04 | 0.00 | 1.0x | 8 | 6% |
| Donchian 채널 돌파 entryN=66, exitN=16 |
-1.0% | -16.0% | -0.11 | -0.06 | 0.9x | 10 | 12% |
| MACD fast=27, slow=57, signal=31 |
-3.1% | -29.1% | -0.13 | -0.11 | 0.8x | 28 | 45% |
| SMA 크로스오버 fast=54, slow=239 |
-2.8% | -22.6% | -0.30 | -0.13 | 0.8x | 6 | 16% |
| Supertrend period=28, mult=5 |
-5.1% | -31.0% | -0.38 | -0.16 | 0.7x | 20 | 28% |
| EMA 크로스오버 fast=73, slow=123 |
-3.5% | -25.7% | -0.43 | -0.14 | 0.8x | 6 | 15% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-12.2% | -53.3% | -0.75 | -0.23 | 0.5x | 98 | 45% |
| Buy and hold | -17.2% | -66.9% | -0.70 | -0.26 | 0.3x | 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 27-day return is greater than 12%
- Sell — Sell when the 27-day return drops to 12% or below