Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Core 10 Year USD Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core 10 Year USD Bond ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.4%, drawdown -43.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.5%, Sharpe 0.27, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.1%, MDD -23.8%, exposure 51%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 0.2%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=3, threshold=0.07 |
0.2% | -0.5% | 0.27 | 0.37 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.7% | -7.5% | 0.26 | 0.09 | 1.1x | 4 | 4% |
| ADX / DI 방향성 period=37, threshold=23 |
0.8% | -7.5% | 0.23 | 0.10 | 1.1x | 12 | 8% |
| SMA 크로스오버 fast=28, slow=125 |
1.1% | -23.8% | 0.17 | 0.04 | 1.2x | 30 | 51% |
| Donchian 채널 돌파 entryN=95, exitN=54 |
0.6% | -28.1% | 0.12 | 0.02 | 1.1x | 26 | 39% |
| EMA 크로스오버 fast=33, slow=144 |
0.5% | -26.9% | 0.10 | 0.02 | 1.1x | 28 | 50% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=3 |
0.3% | -16.0% | 0.08 | 0.02 | 1.0x | 52 | 23% |
| Supertrend period=26, mult=5 |
-0.8% | -30.7% | -0.08 | -0.02 | 0.9x | 64 | 42% |
| MACD fast=21, slow=60, signal=40 |
-1.3% | -33.6% | -0.13 | -0.04 | 0.8x | 106 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.4% | -54.9% | -0.53 | -0.08 | 0.5x | 145 | 50% |
| Buy and hold | -0.4% | -43.9% | 0.02 | -0.01 | 0.9x | 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 3-day return is greater than 7%
- Sell — Sell when the 3-day return drops to 7% or below