Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Treasury Floating Rate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Treasury Floating Rate Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.0%, drawdown -5.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.4%, MDD -6.2%, Sharpe -0.23, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: Keltner 채널 돌파 — CAGR -0.1%, MDD -1.3%, exposure 0%.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=103, threshold=-0.03 |
-0.4% | -6.2% | -0.23 | -0.06 | 1.0x | 3 | 97% |
| ADX / DI 방향성 period=50, threshold=34 |
-0.1% | -1.9% | -0.34 | -0.07 | 1.0x | 4 | 7% |
| SMA 크로스오버 fast=62, slow=174 |
-0.8% | -10.3% | -0.39 | -0.08 | 0.9x | 21 | 60% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=3.7 |
-0.1% | -1.3% | -0.46 | -0.08 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=73, exitN=64 |
-0.6% | -8.1% | -0.77 | -0.08 | 0.9x | 15 | 47% |
| 볼린저 밴드 돌파 n=24, k=3.2 |
-0.4% | -4.7% | -0.81 | -0.08 | 1.0x | 8 | 1% |
| EMA 크로스오버 fast=57, slow=218 |
-1.6% | -19.0% | -0.97 | -0.09 | 0.8x | 29 | 66% |
| Supertrend period=7, mult=5 |
-4.0% | -40.1% | -2.05 | -0.10 | 0.6x | 73 | 41% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.0% | -39.9% | -2.62 | -0.10 | 0.6x | 85 | 49% |
| MACD fast=29, slow=47, signal=21 |
-11.0% | -76.7% | -4.89 | -0.14 | 0.2x | 261 | 49% |
| Buy and hold | 0.0% | -5.0% | 0.03 | 0.01 | 1.0x | 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 103-day return is greater than -3%
- Sell — Sell when the 103-day return drops to -3% or below