Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 10-20 Year Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 10-20 Year Treasury Bond ETF. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -2.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.2%, drawdown -46.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -4.3%, Sharpe 0.16, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.5%, MDD -15.8%, exposure 34%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR -0.1%, MDD -2.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.3 |
0.2% | -4.3% | 0.16 | 0.05 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=115, exitN=54 |
0.5% | -15.8% | 0.11 | 0.03 | 1.1x | 26 | 34% |
| SMA 크로스오버 fast=54, slow=87 |
0.4% | -24.8% | 0.09 | 0.02 | 1.1x | 60 | 51% |
| EMA 크로스오버 fast=55, slow=209 |
-0.0% | -24.7% | 0.03 | -0.00 | 1.0x | 26 | 49% |
| ROC 모멘텀 Hold-like · Exposure 98% n=48, threshold=-0.11 |
-0.6% | -48.7% | -0.01 | -0.01 | 0.9x | 23 | 98% |
| MACD fast=34, slow=49, signal=40 |
-0.8% | -23.0% | -0.08 | -0.04 | 0.8x | 106 | 47% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=8, mult=2.7 |
-0.4% | -13.2% | -0.10 | -0.03 | 0.9x | 38 | 6% |
| Supertrend period=8, mult=4.7 |
-1.3% | -32.6% | -0.15 | -0.04 | 0.8x | 78 | 48% |
| ADX / DI 방향성 period=26, threshold=37 |
-0.1% | -2.5% | -0.28 | -0.05 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.6% | -56.4% | -0.47 | -0.06 | 0.5x | 164 | 50% |
| Buy and hold | -0.2% | -46.0% | 0.03 | -0.00 | 1.0x | 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 25-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 25-day middle average