Trend-Following Backtester · Guide · backtest 한국어
etf · US
Schwab Intermediate-Term U.S. Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Schwab Intermediate-Term U.S. Treasury ETF. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -20.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.3%, MDD -11.7%, Sharpe 0.11, 58% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 8.4%p (CAGR -0.0%, MDD -0.8%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=110, exitN=184 |
0.3% | -11.7% | 0.11 | 0.03 | 1.0x | 12 | 58% |
| EMA 크로스오버 fast=61, slow=216 |
0.2% | -7.7% | 0.10 | 0.03 | 1.0x | 14 | 51% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.0% | -1.1% | 0.05 | 0.02 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=33, slow=199 |
-0.2% | -12.9% | -0.06 | -0.02 | 1.0x | 24 | 52% |
| ROC 모멘텀 n=102, threshold=0.08 |
-0.0% | -0.8% | -0.12 | -0.05 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=18, mult=4 |
-0.5% | -10.8% | -0.27 | -0.05 | 0.9x | 28 | 13% |
| ADX / DI 방향성 period=39, threshold=24 |
-0.2% | -4.0% | -0.31 | -0.05 | 1.0x | 6 | 3% |
| Supertrend period=9, mult=5 |
-1.6% | -26.2% | -0.49 | -0.06 | 0.8x | 60 | 50% |
| MACD fast=22, slow=67, signal=29 |
-3.1% | -40.9% | -0.96 | -0.08 | 0.6x | 118 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.7% | -54.0% | -1.42 | -0.09 | 0.5x | 140 | 51% |
| Buy and hold | -0.2% | -20.1% | -0.02 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 110 days
- Sell — Sell when price breaks below the lowest low of the last 184 days