Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Equal Weight Technology ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Equal Weight Technology ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.9%, drawdown -59.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -24.4%, Sharpe 0.71, 65% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.3%, MDD -27.7%, exposure 73%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=110, exitN=64 |
9.9% | -24.4% | 0.71 | 0.41 | 6.5x | 27 | 65% |
| SMA 크로스오버 fast=4, slow=158 |
10.3% | -27.7% | 0.71 | 0.37 | 7.0x | 61 | 73% |
| EMA 크로스오버 fast=59, slow=79 |
10.2% | -31.8% | 0.68 | 0.32 | 6.9x | 29 | 74% |
| ROC 모멘텀 n=65, threshold=-0.04 |
9.6% | -42.3% | 0.61 | 0.23 | 6.2x | 115 | 81% |
| 볼린저 밴드 돌파 n=100, k=0.3 |
7.5% | -29.9% | 0.55 | 0.25 | 4.2x | 125 | 70% |
| Supertrend period=37, mult=4.9 |
6.8% | -33.4% | 0.49 | 0.20 | 3.7x | 89 | 69% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=1.4 |
5.4% | -26.8% | 0.44 | 0.20 | 2.8x | 147 | 60% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.9% | -36.8% | 0.33 | 0.11 | 2.2x | 191 | 60% |
| ADX / DI 방향성 period=37, threshold=21 |
1.6% | -17.3% | 0.31 | 0.10 | 1.4x | 8 | 5% |
| MACD fast=9, slow=42, signal=17 |
0.2% | -37.2% | 0.09 | 0.01 | 1.1x | 314 | 52% |
| Buy and hold | 13.9% | -59.0% | 0.67 | 0.24 | 13.2x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 64 days