Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 3-7 Year Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 3-7 Year Treasury Bond ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 0.6%, MDD -10.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 0.8%, drawdown -16.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -1.3%, Sharpe 0.27, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.7%, MDD -18.0%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 0.6%, MDD -10.7%, exposure 69%).
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=28, threshold=39 |
0.2% | -1.3% | 0.27 | 0.14 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=85, exitN=115 |
0.6% | -10.7% | 0.20 | 0.06 | 1.1x | 20 | 69% |
| ROC 모멘텀 Hold-like · Exposure 98% n=98, threshold=-0.08 |
0.7% | -18.0% | 0.19 | 0.04 | 1.2x | 3 | 98% |
| EMA 크로스오버 fast=55, slow=209 |
0.0% | -11.7% | 0.03 | 0.00 | 1.0x | 24 | 58% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
-0.0% | -3.6% | -0.06 | -0.01 | 1.0x | 4 | 3% |
| SMA 크로스오버 fast=25, slow=214 |
-0.3% | -15.0% | -0.07 | -0.02 | 0.9x | 36 | 56% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=7, mult=4 |
-0.0% | -1.4% | -0.08 | -0.02 | 1.0x | 2 | 1% |
| Supertrend period=9, mult=4.6 |
-1.2% | -31.6% | -0.35 | -0.04 | 0.8x | 82 | 53% |
| MACD fast=31, slow=88, signal=26 |
-2.1% | -40.2% | -0.64 | -0.05 | 0.7x | 124 | 48% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.7% | -54.8% | -1.16 | -0.07 | 0.5x | 150 | 46% |
| Buy and hold | 0.8% | -16.8% | 0.20 | 0.05 | 1.2x | 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, 28-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)