Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Semiconductors ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Semiconductors ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -38.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.9%, drawdown -63.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -38.2%, Sharpe 0.65, 69% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 24.7%p (CAGR 14.0%, MDD -38.2%, exposure 69%).
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=63, slow=126 |
14.0% | -38.2% | 0.65 | 0.37 | 15.8x | 39 | 69% |
| EMA 크로스오버 fast=38, slow=66 |
13.1% | -40.4% | 0.64 | 0.32 | 13.4x | 45 | 69% |
| Donchian 채널 돌파 entryN=54, exitN=52 |
11.1% | -34.3% | 0.57 | 0.32 | 9.2x | 44 | 69% |
| Supertrend period=27, mult=4.9 |
8.9% | -36.9% | 0.51 | 0.24 | 6.1x | 84 | 60% |
| ROC 모멘텀 n=74, threshold=0 |
8.7% | -47.8% | 0.48 | 0.18 | 5.8x | 211 | 66% |
| 볼린저 밴드 돌파 n=35, k=0.9 |
4.5% | -52.1% | 0.32 | 0.09 | 2.5x | 230 | 53% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=19, mult=1.4 |
4.5% | -46.1% | 0.32 | 0.10 | 2.5x | 170 | 58% |
| MACD fast=19, slow=46, signal=19 |
0.5% | -68.2% | 0.13 | 0.01 | 1.1x | 242 | 52% |
| ADX / DI 방향성 period=28, threshold=8 |
-0.0% | -74.4% | 0.10 | -0.00 | 1.0x | 318 | 53% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-1.6% | -73.3% | 0.04 | -0.02 | 0.7x | 400 | 57% |
| Buy and hold | 16.9% | -63.0% | 0.65 | 0.27 | 27.2x | 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 63-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 63-day average falls below the 126-day average