Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Pure Value ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Pure Value ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -34.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.1%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -34.2%, Sharpe 0.57, 66% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.9%, MDD -67.9%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 7.4%, MDD -34.2%, exposure 66%).
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=47, slow=111 |
7.4% | -34.2% | 0.57 | 0.22 | 4.3x | 39 | 66% |
| Donchian 채널 돌파 entryN=71, exitN=57 |
7.0% | -32.6% | 0.56 | 0.21 | 3.9x | 33 | 63% |
| EMA 크로스오버 fast=21, slow=103 |
6.6% | -41.4% | 0.52 | 0.16 | 3.7x | 49 | 69% |
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.11 |
8.9% | -67.9% | 0.49 | 0.13 | 5.7x | 39 | 98% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
0.6% | -4.3% | 0.35 | 0.14 | 1.1x | 8 | 2% |
| Supertrend period=17, mult=4.1 |
3.3% | -44.1% | 0.29 | 0.08 | 2.0x | 109 | 62% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=13, mult=4 |
1.6% | -23.7% | 0.22 | 0.07 | 1.4x | 53 | 26% |
| MACD fast=15, slow=31, signal=17 |
1.6% | -45.8% | 0.18 | 0.03 | 1.4x | 261 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
1.1% | -37.1% | 0.15 | 0.03 | 1.2x | 287 | 59% |
| ADX / DI 방향성 period=35, threshold=19 |
0.2% | -17.5% | 0.06 | 0.01 | 1.0x | 40 | 10% |
| Buy and hold | 7.1% | -76.7% | 0.40 | 0.09 | 4.0x | 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 47-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 47-day average falls below the 111-day average