Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2027 Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2027 Term Treasury ETF. 8 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 0.1%, MDD -1.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.0%, drawdown -18.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -1.0%, Sharpe 0.18, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 0.1%, MDD -1.0%, exposure 4%).
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=38 |
0.1% | -1.0% | 0.18 | 0.10 | 1.0x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=3.2 |
-0.3% | -2.4% | -0.21 | -0.11 | 1.0x | 4 | 3% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
-0.2% | -1.2% | -0.42 | -0.16 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=104, exitN=19 |
-0.8% | -4.9% | -0.56 | -0.16 | 1.0x | 8 | 9% |
| Supertrend period=21, mult=5 |
-1.6% | -11.4% | -0.57 | -0.14 | 0.9x | 18 | 35% |
| ROC 모멘텀 n=110, threshold=0.04 |
-0.2% | -1.1% | -0.63 | -0.16 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=29, slow=210 |
-1.2% | -7.5% | -0.69 | -0.16 | 0.9x | 10 | 32% |
| EMA 크로스오버 fast=14, slow=162 |
-1.3% | -7.8% | -0.73 | -0.16 | 0.9x | 12 | 30% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.1% | -30.3% | -1.60 | -0.17 | 0.7x | 51 | 44% |
| MACD fast=15, slow=40, signal=19 |
-6.9% | -37.1% | -2.16 | -0.19 | 0.6x | 81 | 49% |
| Buy and hold | -2.0% | -18.7% | -0.45 | -0.11 | 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 ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)