Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco National AMT-Free Municipal Bond ETFo backtest
10 trend-following strategies were compared on the full daily history of Invesco National AMT-Free Municipal Bond ETFo. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -3.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.5%, drawdown -27.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.3%, MDD -17.6%, Sharpe 0.12, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 9.4%p (CAGR 0.0%, MDD -3.3%, exposure 3%).
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=116, exitN=81 |
0.3% | -17.6% | 0.12 | 0.02 | 1.1x | 20 | 47% |
| Supertrend period=23, mult=4.1 |
0.3% | -12.4% | 0.09 | 0.03 | 1.1x | 76 | 57% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
0.1% | -8.9% | 0.09 | 0.01 | 1.0x | 12 | 2% |
| ROC 모멘텀 n=44, threshold=-0.04 |
0.1% | -26.7% | 0.04 | 0.00 | 1.0x | 49 | 89% |
| ADX / DI 방향성 period=37, threshold=33 |
0.0% | -3.3% | 0.03 | 0.01 | 1.0x | 10 | 3% |
| SMA 크로스오버 fast=47, slow=219 |
-0.0% | -21.7% | 0.02 | -0.00 | 1.0x | 21 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=3.1 |
-0.2% | -13.3% | -0.05 | -0.01 | 1.0x | 52 | 31% |
| EMA 크로스오버 fast=39, slow=127 |
-0.4% | -28.5% | -0.07 | -0.01 | 0.9x | 28 | 59% |
| MACD fast=40, slow=85, signal=46 |
-1.8% | -30.4% | -0.44 | -0.06 | 0.7x | 86 | 48% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.5% | -39.3% | -0.52 | -0.06 | 0.6x | 150 | 56% |
| Buy and hold | -0.5% | -27.0% | -0.03 | -0.02 | 0.9x | 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 116 days
- Sell — Sell when price breaks below the lowest low of the last 81 days