Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2028 Term Corporate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2028 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 0.1%, MDD -0.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.0%, drawdown -21.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.0%, MDD -3.4%, Sharpe 0.63, 11% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 17.9%p (CAGR 0.1%, MDD -0.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=3.1 |
1.0% | -3.4% | 0.63 | 0.29 | 1.1x | 4 | 11% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=14, mult=3.7 |
0.7% | -3.0% | 0.41 | 0.23 | 1.1x | 6 | 12% |
| ADX / DI 방향성 period=36, threshold=33 |
0.4% | -4.8% | 0.27 | 0.09 | 1.0x | 4 | 12% |
| Donchian 채널 돌파 entryN=42, exitN=12 |
0.7% | -6.8% | 0.25 | 0.10 | 1.1x | 20 | 33% |
| ROC 모멘텀 n=80, threshold=0.12 |
0.1% | -0.6% | 0.22 | 0.15 | 1.0x | 2 | 1% |
| Supertrend period=15, mult=3.4 |
0.6% | -9.9% | 0.18 | 0.06 | 1.0x | 26 | 48% |
| SMA 크로스오버 fast=10, slow=51 |
0.3% | -9.5% | 0.09 | 0.03 | 1.0x | 32 | 51% |
| EMA 크로스오버 fast=19, slow=77 |
0.1% | -12.5% | 0.03 | 0.00 | 1.0x | 20 | 56% |
| MACD fast=37, slow=41, signal=30 |
-1.3% | -15.9% | -0.30 | -0.08 | 0.9x | 47 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.5% | -20.7% | -0.37 | -0.07 | 0.9x | 60 | 52% |
| Buy and hold | 0.0% | -21.3% | 0.04 | 0.00 | 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 43-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 43-day middle average