Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 7-10 Year Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 7-10 Year Treasury Bond ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -5.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 0.5%, drawdown -27.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -5.9%, Sharpe 0.23, 7% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 21.8%p (CAGR 0.5%, MDD -5.9%, exposure 7%).
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=47, k=3.1 |
0.5% | -5.9% | 0.23 | 0.09 | 1.1x | 16 | 7% |
| ROC 모멘텀 n=25, threshold=0.08 |
0.1% | -1.4% | 0.21 | 0.08 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=92, exitN=96 |
-0.3% | -22.0% | -0.04 | -0.01 | 0.9x | 36 | 50% |
| EMA 크로스오버 fast=44, slow=129 |
-0.5% | -20.9% | -0.08 | -0.03 | 0.9x | 48 | 52% |
| ADX / DI 방향성 period=39, threshold=22 |
-0.2% | -11.1% | -0.11 | -0.02 | 0.9x | 16 | 6% |
| SMA 크로스오버 fast=36, slow=92 |
-0.7% | -19.1% | -0.11 | -0.04 | 0.8x | 70 | 52% |
| Supertrend period=8, mult=5 |
-1.0% | -25.6% | -0.18 | -0.04 | 0.8x | 88 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=14, mult=3.4 |
-1.1% | -24.1% | -0.33 | -0.05 | 0.8x | 72 | 18% |
| MACD fast=30, slow=54, signal=31 |
-2.1% | -40.6% | -0.42 | -0.05 | 0.6x | 160 | 48% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.9% | -63.6% | -0.77 | -0.06 | 0.4x | 204 | 51% |
| Buy and hold | 0.5% | -27.7% | 0.11 | 0.02 | 1.1x | 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 47-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 47-day middle average