Trend-Following Backtester · Guide · backtest 한국어
etf · CA
CI Invesco NASDAQ 100 Index ETF Trust Units backtest
10 trend-following strategies were compared on the full daily history of CI Invesco NASDAQ 100 Index ETF Trust Units. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.7%, MDD -8.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.0%, drawdown -31.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.7%, MDD -8.6%, Sharpe 1.24, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.4%, MDD -14.0%, exposure 63%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 23.3%p (CAGR 14.7%, MDD -8.6%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=28, mult=2.4 |
14.7% | -8.6% | 1.24 | 1.71 | 2.0x | 22 | 49% |
| MACD fast=37, slow=65, signal=19 |
15.5% | -15.8% | 1.19 | 0.98 | 2.1x | 28 | 49% |
| SMA 크로스오버 fast=8, slow=192 |
16.4% | -14.0% | 1.17 | 1.17 | 2.2x | 5 | 63% |
| Parabolic SAR step=0.035, maxStep=0.04 |
15.4% | -18.5% | 1.10 | 0.83 | 2.1x | 48 | 66% |
| EMA 크로스오버 fast=17, slow=166 |
15.0% | -14.7% | 1.08 | 1.02 | 2.1x | 5 | 64% |
| 볼린저 밴드 돌파 n=58, k=1 |
13.6% | -15.4% | 1.05 | 0.88 | 1.9x | 22 | 56% |
| Supertrend period=17, mult=4 |
13.0% | -19.3% | 1.03 | 0.67 | 1.9x | 26 | 58% |
| Donchian 채널 돌파 entryN=20, exitN=20 |
14.1% | -19.4% | 1.00 | 0.73 | 2.0x | 26 | 64% |
| ROC 모멘텀 n=89, threshold=0.03 |
11.3% | -13.9% | 0.84 | 0.81 | 1.7x | 31 | 61% |
| ADX / DI 방향성 period=26, threshold=12 |
10.0% | -12.5% | 0.82 | 0.80 | 1.6x | 44 | 55% |
| Buy and hold | 18.0% | -31.9% | 0.89 | 0.56 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 35-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-day average