Trend-Following Backtester · Guide · backtest 한국어
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Invesco Total Return Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Total Return Bond ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.8%, drawdown -25.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -4.2%, Sharpe 0.36, 6% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 0.0%, MDD -0.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=3 |
0.5% | -4.2% | 0.36 | 0.11 | 1.0x | 8 | 6% |
| ADX / DI 방향성 period=28, threshold=35 |
0.4% | -5.1% | 0.23 | 0.08 | 1.0x | 4 | 10% |
| ROC 모멘텀 n=50, threshold=0.09 |
0.0% | -0.6% | 0.15 | 0.09 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=37, slow=245 |
0.2% | -11.3% | 0.08 | 0.02 | 1.0x | 12 | 42% |
| Donchian 채널 돌파 entryN=45, exitN=35 |
-0.3% | -8.8% | -0.09 | -0.04 | 1.0x | 26 | 43% |
| Supertrend period=25, mult=5 |
-0.7% | -12.7% | -0.17 | -0.05 | 0.9x | 32 | 51% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=22, mult=3 |
-0.4% | -8.3% | -0.19 | -0.05 | 1.0x | 22 | 15% |
| EMA 크로스오버 fast=27, slow=61 |
-1.0% | -16.2% | -0.22 | -0.06 | 0.9x | 30 | 51% |
| MACD fast=33, slow=53, signal=38 |
-1.5% | -19.8% | -0.37 | -0.07 | 0.9x | 52 | 45% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.8% | -34.2% | -1.00 | -0.11 | 0.7x | 82 | 49% |
| Buy and hold | -0.8% | -25.9% | -0.11 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 22-day average (3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average