Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares 0-3 Month Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of iShares 0-3 Month Treasury Bond ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 0.0%, drawdown -0.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD -0.7%, Sharpe 0.04, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=65, threshold=-0.09 |
0.0% | -0.7% | 0.04 | 0.05 | 1.0x | 1 | 96% |
| ADX / DI 방향성 period=27, threshold=26 |
-0.2% | -1.0% | -0.56 | -0.16 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=46, k=3.4 |
-0.2% | -1.0% | -0.58 | -0.16 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=43, slow=171 |
-0.7% | -4.3% | -0.61 | -0.15 | 1.0x | 9 | 68% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=25, mult=4 |
-0.7% | -4.0% | -1.10 | -0.17 | 1.0x | 6 | 1% |
| EMA 크로스오버 fast=53, slow=195 |
-1.5% | -8.9% | -1.16 | -0.16 | 0.9x | 17 | 74% |
| Donchian 채널 돌파 entryN=109, exitN=92 |
-1.6% | -9.5% | -1.31 | -0.17 | 0.9x | 17 | 58% |
| MACD fast=47, slow=60, signal=69 |
-6.7% | -35.0% | -3.70 | -0.19 | 0.7x | 73 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-7.9% | -40.0% | -4.06 | -0.20 | 0.6x | 83 | 43% |
| Supertrend period=27, mult=1.7 |
-8.5% | -42.5% | -4.11 | -0.20 | 0.6x | 103 | 57% |
| Buy and hold | 0.0% | -0.7% | 0.04 | 0.05 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 65-day return is greater than -9%
- Sell — Sell when the 65-day return drops to -9% or below