Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Large Cap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Large Cap Growth ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.1%, MDD -19.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -53.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -19.1%, Sharpe 0.77, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 33.9%p (CAGR 10.1%, MDD -19.1%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=111, exitN=105 |
10.1% | -19.1% | 0.77 | 0.53 | 7.9x | 17 | 73% |
| SMA 크로스오버 fast=12, slow=200 |
10.0% | -20.5% | 0.74 | 0.49 | 7.7x | 27 | 76% |
| EMA 크로스오버 fast=37, slow=113 |
8.9% | -24.9% | 0.66 | 0.36 | 6.3x | 29 | 77% |
| ROC 모멘텀 n=135, threshold=-0.04 |
7.3% | -40.0% | 0.54 | 0.18 | 4.5x | 99 | 82% |
| Supertrend period=12, mult=4.5 |
4.1% | -30.7% | 0.41 | 0.13 | 2.4x | 100 | 62% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=2.5 |
3.2% | -29.1% | 0.37 | 0.11 | 2.0x | 122 | 50% |
| ADX / DI 방향성 period=28, threshold=27 |
0.7% | -11.5% | 0.28 | 0.06 | 1.2x | 12 | 3% |
| 볼린저 밴드 돌파 n=56, k=2.1 |
1.7% | -25.4% | 0.24 | 0.07 | 1.4x | 68 | 37% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.2% | -47.3% | 0.05 | -0.00 | 1.0x | 219 | 65% |
| MACD fast=18, slow=49, signal=15 |
-3.4% | -68.5% | -0.23 | -0.05 | 0.5x | 272 | 53% |
| Buy and hold | 11.5% | -53.0% | 0.63 | 0.22 | 10.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 111 days
- Sell — Sell when price breaks below the lowest low of the last 105 days