Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco California AMT-Free Municipal Bond Portfolio backtest
10 trend-following strategies were compared on the full daily history of Invesco California AMT-Free Municipal Bond Portfolio. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -2.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.3%, drawdown -24.7%).
Sharpe leader (same as main): Supertrend — CAGR 0.6%, MDD -14.5%, Sharpe 0.17, 58% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 10.2%p (CAGR 0.0%, MDD -2.0%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.5 |
0.6% | -14.5% | 0.17 | 0.04 | 1.1x | 56 | 58% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
0.2% | -4.7% | 0.16 | 0.05 | 1.0x | 16 | 12% |
| SMA 크로스오버 fast=37, slow=175 |
0.5% | -14.7% | 0.15 | 0.04 | 1.1x | 25 | 60% |
| Donchian 채널 돌파 entryN=51, exitN=54 |
0.5% | -19.6% | 0.15 | 0.02 | 1.1x | 37 | 58% |
| EMA 크로스오버 fast=57, slow=172 |
0.1% | -16.7% | 0.06 | 0.01 | 1.0x | 19 | 59% |
| ADX / DI 방향성 period=37, threshold=38 |
0.0% | -2.7% | 0.06 | 0.02 | 1.0x | 6 | 5% |
| ROC 모멘텀 n=57, threshold=0.13 |
0.0% | -2.0% | 0.04 | 0.01 | 1.0x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=2.9 |
-0.5% | -11.1% | -0.17 | -0.04 | 0.9x | 52 | 29% |
| MACD fast=37, slow=57, signal=26 |
-1.8% | -30.8% | -0.42 | -0.06 | 0.7x | 110 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.5% | -37.7% | -0.54 | -0.07 | 0.6x | 142 | 53% |
| Buy and hold | -0.3% | -24.7% | -0.01 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)