Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P International Developed Quality ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P International Developed Quality ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.0%, MDD -24.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.1%, drawdown -74.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.3%, MDD -5.3%, Sharpe 0.41, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -24.5%, exposure 65%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 69.2%p (CAGR 4.0%, MDD -24.5%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=33 |
1.3% | -5.3% | 0.41 | 0.24 | 1.3x | 4 | 2% |
| SMA 크로스오버 fast=8, slow=206 |
4.0% | -24.5% | 0.36 | 0.16 | 2.1x | 43 | 65% |
| Donchian 채널 돌파 entryN=46, exitN=67 |
3.0% | -33.5% | 0.28 | 0.09 | 1.8x | 31 | 64% |
| EMA 크로스오버 fast=37, slow=185 |
2.5% | -26.6% | 0.25 | 0.10 | 1.6x | 29 | 65% |
| ROC 모멘텀 n=148, threshold=-0.04 |
2.4% | -37.7% | 0.23 | 0.06 | 1.6x | 121 | 72% |
| Supertrend period=11, mult=4.7 |
-0.1% | -45.9% | 0.06 | -0.00 | 1.0x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=1.4 |
-0.9% | -45.4% | -0.01 | -0.02 | 0.8x | 145 | 53% |
| 볼린저 밴드 돌파 n=40, k=3 |
-0.5% | -19.2% | -0.07 | -0.02 | 0.9x | 10 | 4% |
| MACD fast=21, slow=57, signal=27 |
-2.8% | -59.1% | -0.13 | -0.05 | 0.6x | 175 | 51% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-6.9% | -81.3% | -0.35 | -0.08 | 0.3x | 451 | 57% |
| Buy and hold | 3.1% | -74.5% | 0.25 | 0.04 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)