Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 100 Equal Weight ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 100 Equal Weight ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -22.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -50.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -22.5%, Sharpe 0.65, 77% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 27.5%p (CAGR 7.0%, MDD -22.5%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=64, slow=75 |
7.0% | -22.5% | 0.65 | 0.31 | 3.8x | 27 | 77% |
| SMA 크로스오버 fast=17, slow=143 |
6.6% | -24.7% | 0.63 | 0.27 | 3.5x | 43 | 74% |
| Donchian 채널 돌파 entryN=99, exitN=100 |
5.7% | -22.3% | 0.56 | 0.26 | 3.0x | 21 | 74% |
| ROC 모멘텀 n=112, threshold=-0.02 |
3.9% | -32.6% | 0.40 | 0.12 | 2.1x | 115 | 78% |
| Supertrend period=16, mult=5 |
3.4% | -21.3% | 0.39 | 0.16 | 2.0x | 99 | 64% |
| 볼린저 밴드 돌파 n=56, k=2.7 |
0.8% | -12.8% | 0.27 | 0.06 | 1.2x | 13 | 9% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=1.9 |
1.7% | -21.6% | 0.23 | 0.08 | 1.4x | 137 | 60% |
| ADX / DI 방향성 period=33, threshold=23 |
0.5% | -8.8% | 0.20 | 0.05 | 1.1x | 10 | 6% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.4% | -46.0% | -0.07 | -0.03 | 0.8x | 187 | 65% |
| MACD fast=19, slow=23, signal=21 |
-3.0% | -51.7% | -0.22 | -0.06 | 0.6x | 275 | 51% |
| Buy and hold | 8.9% | -50.1% | 0.56 | 0.18 | 5.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 64-day EMA crosses above the 75-day EMA
- Sell — Sell when the 64-day EMA falls below the 75-day EMA