Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Equal Weight ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Equal Weight ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -60.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.7%, MDD -53.4%, Sharpe 0.60, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=14, threshold=-0.15 |
9.7% | -53.4% | 0.60 | 0.18 | 8.6x | 15 | 99% |
| EMA 크로스오버 fast=33, slow=99 |
6.7% | -26.9% | 0.60 | 0.25 | 4.5x | 47 | 74% |
| SMA 크로스오버 fast=25, slow=144 |
5.9% | -26.2% | 0.54 | 0.23 | 3.8x | 49 | 72% |
| Donchian 채널 돌파 entryN=104, exitN=77 |
5.4% | -22.0% | 0.52 | 0.25 | 3.4x | 33 | 68% |
| Supertrend period=11, mult=4.6 |
4.3% | -23.1% | 0.44 | 0.19 | 2.7x | 93 | 60% |
| 볼린저 밴드 돌파 n=62, k=3.1 |
1.3% | -7.1% | 0.44 | 0.18 | 1.3x | 4 | 5% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=22, mult=1.3 |
2.2% | -30.6% | 0.25 | 0.07 | 1.6x | 171 | 63% |
| ADX / DI 방향성 period=34, threshold=29 |
0.0% | -2.9% | 0.06 | 0.02 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.3% | -54.5% | -0.04 | -0.02 | 0.7x | 233 | 64% |
| MACD fast=13, slow=29, signal=18 |
-3.5% | -58.8% | -0.23 | -0.06 | 0.4x | 372 | 51% |
| Buy and hold | 9.6% | -60.9% | 0.57 | 0.16 | 8.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 14-day return is greater than -15%
- Sell — Sell when the 14-day return drops to -15% or below