Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco CurrencyShares Euro Currency Trust backtest
10 trend-following strategies were compared on the full daily history of Invesco CurrencyShares Euro Currency Trust. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.6%, drawdown -44.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD -0.5%, Sharpe 0.13, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.5%, MDD -22.8%, exposure 51%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 0.0%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=23, threshold=0.13 |
0.0% | -0.5% | 0.13 | 0.08 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=65, exitN=73 |
0.5% | -22.8% | 0.12 | 0.02 | 1.1x | 32 | 51% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
0.1% | -5.8% | 0.10 | 0.02 | 1.0x | 4 | 2% |
| SMA 크로스오버 fast=41, slow=125 |
0.3% | -19.9% | 0.09 | 0.02 | 1.1x | 38 | 49% |
| EMA 크로스오버 fast=55, slow=69 |
0.3% | -24.3% | 0.07 | 0.01 | 1.1x | 46 | 51% |
| ADX / DI 방향성 period=38, threshold=32 |
-0.0% | -1.2% | -0.01 | -0.00 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=3.8 |
-0.8% | -22.8% | -0.19 | -0.04 | 0.8x | 54 | 20% |
| Supertrend period=28, mult=4.8 |
-2.1% | -39.3% | -0.32 | -0.05 | 0.7x | 92 | 49% |
| MACD fast=24, slow=49, signal=24 |
-4.1% | -64.9% | -0.62 | -0.06 | 0.4x | 181 | 48% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.9% | -65.0% | -0.75 | -0.08 | 0.4x | 188 | 50% |
| Buy and hold | -0.6% | -44.7% | -0.02 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 23-day return is greater than 13%
- Sell — Sell when the 23-day return drops to 13% or below