Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2026 Term Corporate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2026 Term Corporate ETF. 8 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 -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.4%, drawdown -16.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.8%, MDD -2.7%, Sharpe 0.68, 9% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 13.7%p (CAGR 0.0%, MDD -0.5%, 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=41, k=3.1 |
0.8% | -2.7% | 0.68 | 0.29 | 1.1x | 4 | 9% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=10, mult=4 |
0.5% | -3.8% | 0.35 | 0.13 | 1.1x | 8 | 13% |
| Supertrend period=63, mult=4.7 |
0.7% | -12.1% | 0.23 | 0.05 | 1.1x | 22 | 52% |
| ROC 모멘텀 n=41, threshold=0.11 |
0.0% | -0.5% | 0.17 | 0.10 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=51, exitN=64 |
0.4% | -8.0% | 0.17 | 0.05 | 1.0x | 14 | 43% |
| SMA 크로스오버 fast=45, slow=273 |
0.1% | -16.1% | 0.06 | 0.01 | 1.0x | 10 | 49% |
| EMA 크로스오버 fast=54, slow=209 |
0.1% | -16.1% | 0.05 | 0.01 | 1.0x | 11 | 55% |
| ADX / DI 방향성 period=39, threshold=32 |
-0.0% | -3.4% | 0.00 | -0.00 | 1.0x | 4 | 3% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.8% | -24.7% | -0.88 | -0.11 | 0.8x | 75 | 50% |
| MACD fast=19, slow=47, signal=18 |
-5.0% | -40.8% | -1.49 | -0.12 | 0.6x | 113 | 49% |
| Buy and hold | -0.4% | -16.3% | -0.07 | -0.03 | 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 41-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 41-day middle average