Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2026 Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2026 Term Treasury ETF. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -0.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.6%, drawdown -15.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.0%, MDD -0.9%, Sharpe 0.09, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 14.7%p (CAGR 0.0%, MDD -0.9%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=33 |
0.0% | -0.9% | 0.09 | 0.04 | 1.0x | 2 | 5% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=15, mult=3.5 |
-0.1% | -1.1% | -0.10 | -0.08 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=17, k=2.8 |
-0.3% | -2.2% | -0.26 | -0.12 | 1.0x | 4 | 2% |
| ROC 모멘텀 n=145, threshold=0.04 |
-0.2% | -1.0% | -0.56 | -0.16 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=45, slow=196 |
-0.6% | -4.0% | -0.60 | -0.16 | 1.0x | 6 | 32% |
| SMA 크로스오버 fast=26, slow=218 |
-1.1% | -7.1% | -0.78 | -0.15 | 0.9x | 10 | 31% |
| Supertrend period=13, mult=4.9 |
-2.0% | -15.1% | -0.82 | -0.13 | 0.9x | 24 | 33% |
| Donchian 채널 돌파 entryN=116, exitN=31 |
-1.1% | -6.6% | -0.91 | -0.16 | 0.9x | 10 | 11% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.4% | -26.7% | -1.60 | -0.17 | 0.7x | 47 | 45% |
| MACD fast=40, slow=57, signal=22 |
-4.2% | -24.2% | -1.72 | -0.17 | 0.8x | 45 | 45% |
| Buy and hold | -1.6% | -15.6% | -0.46 | -0.10 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)