Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2030 Term Corporate ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2030 Term Corporate ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.2%, MDD -1.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.6%, drawdown -24.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -1.6%, Sharpe 0.17, 2% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.3%, MDD -3.8%, exposure 6%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 0.2%, MDD -1.6%, exposure 2%).
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=20, k=3.1 |
0.2% | -1.6% | 0.17 | 0.13 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=2 |
0.3% | -3.8% | 0.16 | 0.07 | 1.0x | 8 | 6% |
| Donchian 채널 돌파 entryN=104, exitN=18 |
-0.0% | -3.3% | -0.03 | -0.01 | 1.0x | 4 | 6% |
| Supertrend period=17, mult=3.5 |
-0.4% | -7.5% | -0.09 | -0.06 | 1.0x | 20 | 45% |
| MACD fast=22, slow=112, signal=24 |
-1.2% | -9.8% | -0.25 | -0.12 | 0.9x | 30 | 41% |
| EMA 크로스오버 fast=55, slow=194 |
-0.8% | -6.7% | -0.27 | -0.12 | 1.0x | 6 | 38% |
| ROC 모멘텀 n=56, threshold=0.05 |
-0.4% | -3.9% | -0.28 | -0.10 | 1.0x | 8 | 4% |
| SMA 크로스오버 fast=48, slow=219 |
-1.3% | -8.2% | -0.36 | -0.15 | 0.9x | 8 | 41% |
| ADX / DI 방향성 period=35, threshold=11 |
-2.3% | -15.6% | -0.53 | -0.15 | 0.9x | 35 | 60% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.5% | -21.9% | -0.81 | -0.16 | 0.8x | 50 | 42% |
| Buy and hold | -2.6% | -24.9% | -0.38 | -0.10 | 0.9x | 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 20-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 20-day middle average