Trend-Following Backtester · Guide · backtest 한국어
etf · US
Innovator U.S. Equity Power Buffer ETF - August backtest
10 trend-following strategies were compared on the full daily history of Innovator U.S. Equity Power Buffer ETF - August. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.4%, MDD -11.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -17.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -10.5%, Sharpe 1.23, 74% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.4%, MDD -11.8%, exposure 91%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 7.4%p (CAGR 10.4%, MDD -11.8%, exposure 91%).
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=37, slow=176 |
7.9% | -10.5% | 1.23 | 0.75 | 1.7x | 5 | 74% |
| ROC 모멘텀 n=153, threshold=-0.09 |
10.4% | -11.8% | 1.20 | 0.88 | 2.0x | 3 | 91% |
| EMA 크로스오버 fast=44, slow=226 |
8.1% | -10.5% | 1.19 | 0.78 | 1.7x | 3 | 77% |
| Donchian 채널 돌파 entryN=18, exitN=61 |
7.6% | -12.4% | 1.07 | 0.61 | 1.7x | 13 | 89% |
| Supertrend period=17, mult=5 |
6.1% | -16.1% | 1.02 | 0.38 | 1.5x | 21 | 79% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=11, mult=1.4 |
4.6% | -14.3% | 0.84 | 0.32 | 1.4x | 29 | 72% |
| 볼린저 밴드 돌파 n=30, k=3 |
0.5% | -2.3% | 0.36 | 0.21 | 1.0x | 2 | 3% |
| MACD fast=19, slow=37, signal=19 |
1.6% | -13.8% | 0.34 | 0.12 | 1.1x | 64 | 46% |
| ADX / DI 방향성 period=28, threshold=29 |
0.1% | -1.8% | 0.08 | 0.05 | 1.0x | 4 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.3% | -20.3% | -0.01 | -0.01 | 1.0x | 79 | 69% |
| Buy and hold | 9.2% | -17.9% | 0.90 | 0.51 | 1.8x | 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 37-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 37-day average falls below the 176-day average