Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco AI and Next Gen Software ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco AI and Next Gen Software ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.3%, MDD -30.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.6%, drawdown -53.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.6%, MDD -46.8%, Sharpe 0.65, 84% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 6.3%p (CAGR 11.3%, MDD -30.7%, exposure 75%).
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=128, threshold=-0.07 |
11.6% | -46.8% | 0.65 | 0.25 | 10.3x | 97 | 84% |
| EMA 크로스오버 fast=70, slow=182 |
11.3% | -30.7% | 0.65 | 0.37 | 9.6x | 19 | 75% |
| Donchian 채널 돌파 entryN=44, exitN=57 |
10.0% | -34.8% | 0.62 | 0.29 | 7.5x | 46 | 74% |
| SMA 크로스오버 fast=57, slow=144 |
10.0% | -35.6% | 0.60 | 0.28 | 7.5x | 35 | 68% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=19, mult=1.6 |
7.5% | -33.4% | 0.53 | 0.22 | 4.6x | 105 | 63% |
| Supertrend period=31, mult=4.8 |
7.5% | -33.6% | 0.52 | 0.22 | 4.6x | 98 | 64% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
2.8% | -38.9% | 0.26 | 0.07 | 1.8x | 166 | 54% |
| ADX / DI 방향성 period=37, threshold=11 |
2.2% | -48.3% | 0.24 | 0.05 | 1.6x | 176 | 36% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.2% | -45.2% | 0.22 | 0.05 | 1.6x | 205 | 59% |
| MACD fast=19, slow=26, signal=14 |
-1.0% | -58.6% | 0.02 | -0.02 | 0.8x | 297 | 50% |
| Buy and hold | 14.6% | -53.1% | 0.68 | 0.28 | 18.1x | 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 128-day return is greater than -7%
- Sell — Sell when the 128-day return drops to -7% or below