Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Aerospace & Defense ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Aerospace & Defense ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.5%, MDD -41.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -57.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.5%, MDD -41.0%, Sharpe 0.70, 87% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 10.5%, MDD -41.0%, exposure 87%).
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=140, threshold=-0.09 |
10.5% | -41.0% | 0.70 | 0.26 | 7.9x | 65 | 87% |
| SMA 크로스오버 fast=10, slow=159 |
8.9% | -30.2% | 0.69 | 0.29 | 5.9x | 53 | 72% |
| Donchian 채널 돌파 entryN=107, exitN=77 |
7.9% | -23.1% | 0.65 | 0.34 | 4.9x | 27 | 68% |
| EMA 크로스오버 fast=17, slow=246 |
8.5% | -27.5% | 0.64 | 0.31 | 5.4x | 31 | 76% |
| Supertrend period=36, mult=5 |
7.1% | -32.6% | 0.57 | 0.22 | 4.2x | 73 | 69% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=1.5 |
3.1% | -27.2% | 0.32 | 0.11 | 1.9x | 152 | 60% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
0.2% | -2.4% | 0.27 | 0.08 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.6% | -31.4% | 0.11 | 0.02 | 1.1x | 204 | 62% |
| MACD fast=13, slow=30, signal=16 |
0.5% | -36.4% | 0.10 | 0.01 | 1.1x | 304 | 52% |
| ADX / DI 방향성 period=38, threshold=25 |
0.1% | -10.9% | 0.06 | 0.01 | 1.0x | 12 | 4% |
| Buy and hold | 12.5% | -57.8% | 0.67 | 0.22 | 11.6x | 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 140-day return is greater than -9%
- Sell — Sell when the 140-day return drops to -9% or below