Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 High Beta ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 High Beta ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.2%, drawdown -47.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -42.2%, Sharpe 0.64, 85% exposure.
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=29, exitN=89 |
12.2% | -42.2% | 0.64 | 0.29 | 5.8x | 23 | 85% |
| EMA 크로스오버 fast=36, slow=123 |
8.5% | -42.6% | 0.54 | 0.20 | 3.5x | 27 | 74% |
| ROC 모멘텀 n=57, threshold=-0.05 |
8.1% | -48.3% | 0.49 | 0.17 | 3.3x | 93 | 81% |
| SMA 크로스오버 fast=25, slow=173 |
7.6% | -43.5% | 0.48 | 0.17 | 3.0x | 25 | 73% |
| Supertrend period=8, mult=4.2 |
5.8% | -27.0% | 0.42 | 0.21 | 2.3x | 78 | 53% |
| 볼린저 밴드 돌파 n=27, k=3.4 |
0.8% | -7.3% | 0.28 | 0.12 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.9% | -50.2% | 0.14 | 0.02 | 1.1x | 150 | 57% |
| ADX / DI 방향성 period=37, threshold=11 |
0.9% | -44.3% | 0.13 | 0.02 | 1.1x | 120 | 31% |
| MACD fast=15, slow=36, signal=16 |
0.7% | -47.4% | 0.12 | 0.01 | 1.1x | 220 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=2.1 |
0.6% | -42.4% | 0.11 | 0.01 | 1.1x | 102 | 46% |
| Buy and hold | 12.2% | -47.8% | 0.56 | 0.25 | 5.8x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 89 days