Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 1-3 Year International Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 1-3 Year International Treasury Bond ETF. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -1.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.5%, drawdown -43.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -5.6%, Sharpe 0.10, 3% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR -0.1%, MDD -1.8%, exposure 0%).
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=25, threshold=36 |
0.1% | -5.6% | 0.10 | 0.02 | 1.0x | 6 | 3% |
| 볼린저 밴드 돌파 n=45, k=2.9 |
-0.1% | -9.9% | -0.02 | -0.01 | 1.0x | 28 | 14% |
| EMA 크로스오버 fast=72, slow=95 |
-0.3% | -14.8% | -0.04 | -0.02 | 0.9x | 27 | 46% |
| SMA 크로스오버 fast=32, slow=55 |
-0.5% | -21.9% | -0.07 | -0.02 | 0.9x | 75 | 45% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=22, mult=3.9 |
-0.4% | -21.5% | -0.09 | -0.02 | 0.9x | 40 | 20% |
| Donchian 채널 돌파 entryN=71, exitN=79 |
-0.7% | -26.4% | -0.12 | -0.03 | 0.9x | 30 | 48% |
| Supertrend period=14, mult=5 |
-1.6% | -42.2% | -0.27 | -0.04 | 0.7x | 71 | 48% |
| ROC 모멘텀 n=104, threshold=0.14 |
-0.1% | -1.8% | -0.28 | -0.06 | 1.0x | 4 | 0% |
| MACD fast=30, slow=56, signal=36 |
-3.2% | -48.5% | -0.55 | -0.07 | 0.6x | 113 | 48% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.6% | -58.1% | -0.83 | -0.08 | 0.4x | 147 | 47% |
| Buy and hold | -1.5% | -43.0% | -0.15 | -0.03 | 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, 25-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)