Trend-Following Backtester · Guide · backtest 한국어
etf · US
Innovator Laddered Allocation Power Buffer ETF backtest
10 trend-following strategies were compared on the full daily history of Innovator Laddered Allocation Power Buffer ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.5%, MDD -21.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -46.2%).
Sharpe leader (same as main): Supertrend — CAGR 6.3%, MDD -24.0%, Sharpe 0.73, 73% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.5%, MDD -24.7%, exposure 91%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 22.2%p (CAGR 6.5%, MDD -21.8%, exposure 85%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=3.5 |
6.3% | -24.0% | 0.73 | 0.26 | 1.8x | 45 | 73% |
| Donchian 채널 돌파 entryN=27, exitN=76 |
6.5% | -21.8% | 0.64 | 0.30 | 1.9x | 15 | 85% |
| ROC 모멘텀 n=45, threshold=-0.04 |
6.5% | -24.7% | 0.61 | 0.26 | 1.9x | 45 | 91% |
| EMA 크로스오버 fast=18, slow=52 |
5.1% | -25.3% | 0.55 | 0.20 | 1.6x | 25 | 79% |
| SMA 크로스오버 fast=8, slow=85 |
3.9% | -21.9% | 0.44 | 0.18 | 1.5x | 29 | 77% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.2% | -26.6% | 0.36 | 0.12 | 1.4x | 93 | 67% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=12, mult=1.6 |
2.3% | -26.9% | 0.30 | 0.08 | 1.2x | 57 | 69% |
| ADX / DI 방향성 period=32, threshold=25 |
0.2% | -5.1% | 0.13 | 0.05 | 1.0x | 10 | 11% |
| 볼린저 밴드 돌파 n=43, k=1.7 |
-0.4% | -35.3% | -0.01 | -0.01 | 1.0x | 73 | 56% |
| MACD fast=16, slow=36, signal=19 |
-0.7% | -32.4% | -0.02 | -0.02 | 0.9x | 118 | 45% |
| Buy and hold | 7.9% | -46.2% | 0.52 | 0.17 | 2.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)