Trend-Following Backtester · Guide · backtest 한국어
etf · US
Innovator Defined Wealth Shield ETF backtest
10 trend-following strategies were compared on the full daily history of Innovator Defined Wealth Shield ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -4.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -4.9%, Sharpe 1.83, 80% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=253 |
5.5% | -4.9% | 1.83 | 1.13 | 1.3x | 3 | 80% |
| Donchian 채널 돌파 entryN=59, exitN=65 |
4.4% | -3.5% | 1.79 | 1.26 | 1.3x | 5 | 75% |
| EMA 크로스오버 fast=14, slow=205 |
5.4% | -4.9% | 1.79 | 1.10 | 1.3x | 3 | 80% |
| ROC 모멘텀 Hold-like · Exposure 96% n=55, threshold=-0.03 |
5.3% | -6.3% | 1.69 | 0.84 | 1.3x | 3 | 96% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=21, mult=1.3 |
4.0% | -2.7% | 1.63 | 1.46 | 1.2x | 13 | 76% |
| 볼린저 밴드 돌파 n=93, k=1.3 |
3.5% | -2.9% | 1.48 | 1.22 | 1.2x | 11 | 72% |
| ADX / DI 방향성 period=42, threshold=17 |
2.9% | -2.8% | 1.33 | 1.05 | 1.2x | 11 | 60% |
| Supertrend period=22, mult=4 |
3.4% | -5.0% | 1.25 | 0.67 | 1.2x | 17 | 85% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.2% | -6.6% | 0.09 | 0.03 | 1.0x | 47 | 70% |
| MACD fast=19, slow=48, signal=17 |
-3.2% | -15.8% | -1.39 | -0.20 | 0.8x | 63 | 49% |
| Buy and hold | 5.9% | -4.9% | 1.78 | 1.20 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 253-day average
- Sell — Sell (to cash) when the 20-day average falls below the 253-day average