Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares iBonds Dec 2029 Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of iShares iBonds Dec 2029 Term Treasury ETF. 9 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 0.2%, MDD -0.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.6%, drawdown -23.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -0.7%, Sharpe 0.41, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 0.2%, MDD -0.7%, exposure 2%).
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=28 |
0.2% | -0.7% | 0.41 | 0.35 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=37, slow=209 |
-0.5% | -4.7% | -0.29 | -0.11 | 1.0x | 6 | 23% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
-0.7% | -5.7% | -0.36 | -0.12 | 1.0x | 10 | 13% |
| Supertrend period=18, mult=4.7 |
-1.5% | -11.8% | -0.40 | -0.13 | 0.9x | 24 | 35% |
| ROC 모멘텀 n=16, threshold=0.05 |
-0.3% | -2.0% | -0.50 | -0.16 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=16, mult=3.8 |
-0.8% | -4.8% | -0.55 | -0.16 | 1.0x | 10 | 7% |
| Donchian 채널 돌파 entryN=90, exitN=55 |
-1.1% | -8.0% | -0.56 | -0.14 | 0.9x | 10 | 25% |
| SMA 크로스오버 fast=44, slow=139 |
-1.9% | -12.2% | -0.63 | -0.15 | 0.9x | 12 | 34% |
| MACD fast=30, slow=75, signal=23 |
-2.4% | -15.0% | -0.65 | -0.16 | 0.9x | 33 | 41% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.8% | -34.9% | -1.33 | -0.17 | 0.7x | 53 | 44% |
| Buy and hold | -2.6% | -23.5% | -0.42 | -0.11 | 0.8x | 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 ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)