Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco RAFI Emerging Markets ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco RAFI Emerging Markets ETF. 3 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 3.9%, MDD -31.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.7%, drawdown -64.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.9%, MDD -31.4%, Sharpe 0.33, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 3.9%, MDD -31.4%, exposure 62%).
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=54, exitN=75 |
3.9% | -31.4% | 0.33 | 0.12 | 2.1x | 29 | 62% |
| EMA 크로스오버 fast=31, slow=97 |
3.0% | -36.3% | 0.27 | 0.08 | 1.7x | 41 | 58% |
| SMA 크로스오버 fast=17, slow=162 |
2.5% | -35.6% | 0.24 | 0.07 | 1.6x | 43 | 57% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=13, mult=3.1 |
0.3% | -6.5% | 0.15 | 0.05 | 1.1x | 4 | 1% |
| ROC 모멘텀 n=138, threshold=0.05 |
0.5% | -40.7% | 0.10 | 0.01 | 1.1x | 160 | 41% |
| 볼린저 밴드 돌파 n=49, k=1.9 |
-1.3% | -42.9% | -0.06 | -0.03 | 0.8x | 88 | 32% |
| MACD fast=25, slow=44, signal=24 |
-2.4% | -58.2% | -0.07 | -0.04 | 0.6x | 159 | 48% |
| Supertrend period=24, mult=4.3 |
-2.8% | -62.9% | -0.11 | -0.04 | 0.6x | 109 | 53% |
| ADX / DI 방향성 period=41, threshold=22 |
-0.4% | -11.4% | -0.13 | -0.04 | 0.9x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.1% | -70.2% | -0.21 | -0.07 | 0.4x | 165 | 54% |
| Buy and hold | 0.7% | -64.0% | 0.16 | 0.01 | 1.1x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 75 days