Trend-Following Backtester · Guide · backtest 한국어

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iShares New York Muni Bond ETF backtest

10 trend-following strategies were compared on the full daily history of iShares New York Muni Bond ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2007-10-11 ~ 2026-07-31daily bars 4,730 (18.8 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 0.2%, drawdown -14.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.0%, MDD -16.6%, Sharpe 0.04, 82% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=14, exitN=104
0.0%-16.6%0.040.001.0x3982%
ROC 모멘텀
Hold-like · Exposure 99%
n=27, threshold=-0.1
0.0%-17.3%0.030.001.0x399%
ADX / DI 방향성
period=33, threshold=36
0.0%-1.6%0.020.001.0x21%
SMA 크로스오버
fast=55, slow=215
-0.3%-13.3%-0.04-0.020.9x2059%
EMA 크로스오버
fast=57, slow=193
-0.6%-19.4%-0.10-0.030.9x2160%
Supertrend
period=22, mult=4.2
-0.9%-15.9%-0.14-0.050.9x7464%
볼린저 밴드 돌파
n=45, k=3.2
-0.6%-11.9%-0.19-0.050.9x103%
Keltner 채널 돌파
emaPeriod=45, atrPeriod=26, mult=3.2
-1.0%-22.8%-0.29-0.050.8x5022%
Parabolic SAR
step=0.005, maxStep=0.22
-2.9%-42.3%-0.64-0.070.6x16457%
MACD
fast=17, slow=57, signal=18
-4.1%-54.6%-0.90-0.080.5x18851%
Buy and hold0.2%-14.8%0.060.011.0x1100%
1x 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -4% -8% -12% -17% 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -16.6% (2020-02-27 → 2025-07-18), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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