Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Revenue ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Revenue ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.9%, MDD -20.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -55.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -20.1%, Sharpe 0.77, 78% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.9%, MDD -26.4%, exposure 87%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 35.2%p (CAGR 8.9%, MDD -20.1%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=109 |
8.9% | -20.1% | 0.77 | 0.44 | 4.8x | 19 | 78% |
| SMA 크로스오버 fast=16, slow=140 |
7.9% | -26.4% | 0.72 | 0.30 | 4.0x | 39 | 74% |
| Donchian 채널 돌파 entryN=21, exitN=74 |
8.9% | -26.4% | 0.70 | 0.34 | 4.8x | 35 | 87% |
| ROC 모멘텀 n=179, threshold=0.02 |
4.9% | -34.5% | 0.49 | 0.14 | 2.4x | 101 | 71% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=3.8 |
0.4% | -2.7% | 0.43 | 0.14 | 1.1x | 2 | 1% |
| Supertrend period=18, mult=5 |
4.0% | -26.5% | 0.40 | 0.15 | 2.1x | 77 | 68% |
| MACD fast=29, slow=70, signal=19 |
0.2% | -26.3% | 0.08 | 0.01 | 1.0x | 158 | 52% |
| 볼린저 밴드 돌파 n=29, k=3.2 |
0.0% | -9.2% | 0.03 | 0.00 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.4% | -42.4% | 0.03 | -0.01 | 0.9x | 277 | 63% |
| ADX / DI 방향성 period=21, threshold=26 |
-0.2% | -14.7% | -0.06 | -0.02 | 1.0x | 28 | 6% |
| Buy and hold | 9.7% | -55.3% | 0.58 | 0.18 | 5.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 109-day EMA
- Sell — Sell when the 52-day EMA falls below the 109-day EMA