Restricting airflow at the top, bottom and sides of the window treatment is a key to saving energy. Close the top with a cornice or ceiling mount drapery, fitting the bottom close to the sill or floor and sides snugly to the window frame. This will trap dead air, containing heat in summer and cold in winter, cutting heat transfer by 25%. Center overlap stops 10% heat loss. Inside mounted (inside the window frame) treatments should be placed 1” from the glass to maximize energy efficiency.
Just like when you dress yourself for cold weather, layers are the way to go. Even using the best currently available construction technology, your heating dollars are going out the window (sorry). Your best defense is to make use of multiple layers of window coverings.