Trend-Following Backtester · Guide · backtest 한국어
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Invesco WilderHill Clean Energy ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco WilderHill Clean Energy ETF. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -35.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.1%, drawdown -90.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -48.9%, Sharpe 0.46, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 3.3%, MDD -35.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=78, slow=219 |
8.0% | -48.9% | 0.46 | 0.16 | 5.2x | 19 | 43% |
| EMA 크로스오버 fast=93, slow=114 |
6.8% | -48.9% | 0.41 | 0.14 | 4.1x | 21 | 45% |
| ROC 모멘텀 n=161, threshold=0.09 |
6.0% | -47.2% | 0.39 | 0.13 | 3.5x | 86 | 35% |
| ADX / DI 방향성 period=35, threshold=22 |
3.3% | -35.2% | 0.36 | 0.09 | 2.0x | 12 | 6% |
| Donchian 채널 돌파 entryN=119, exitN=74 |
5.2% | -47.8% | 0.35 | 0.11 | 3.0x | 22 | 39% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=3.3 |
3.7% | -66.4% | 0.31 | 0.06 | 2.2x | 66 | 20% |
| Supertrend period=8, mult=2.5 |
3.8% | -60.6% | 0.28 | 0.06 | 2.2x | 220 | 50% |
| 볼린저 밴드 돌파 n=19, k=1.2 |
2.8% | -59.1% | 0.24 | 0.05 | 1.8x | 290 | 41% |
| MACD fast=19, slow=52, signal=6 |
-0.3% | -78.4% | 0.11 | -0.00 | 0.9x | 350 | 53% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-1.7% | -75.2% | 0.05 | -0.02 | 0.7x | 384 | 52% |
| Buy and hold | -4.1% | -90.7% | 0.07 | -0.05 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 78-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 78-day average falls below the 219-day average