Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Quality ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Quality ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.4%, MDD -20.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -57.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -28.1%, Sharpe 0.64, 79% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 29.8%p (CAGR 7.4%, MDD -20.8%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=54, exitN=94 |
7.8% | -28.1% | 0.64 | 0.28 | 4.7x | 23 | 79% |
| EMA 크로스오버 fast=20, slow=150 |
7.4% | -20.8% | 0.62 | 0.36 | 4.4x | 31 | 78% |
| SMA 크로스오버 fast=14, slow=197 |
7.3% | -25.0% | 0.61 | 0.29 | 4.3x | 35 | 77% |
| ROC 모멘텀 n=77, threshold=-0.08 |
6.8% | -33.1% | 0.52 | 0.21 | 3.9x | 79 | 90% |
| Supertrend period=14, mult=4.4 |
3.7% | -25.2% | 0.40 | 0.15 | 2.1x | 90 | 64% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=10, mult=4 |
-0.0% | -21.8% | 0.02 | -0.00 | 1.0x | 50 | 19% |
| 볼린저 밴드 돌파 n=39, k=3.3 |
-0.0% | -8.0% | -0.03 | -0.01 | 1.0x | 2 | 1% |
| MACD fast=15, slow=73, signal=17 |
-1.8% | -57.9% | -0.11 | -0.03 | 0.7x | 242 | 54% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.3% | -51.1% | -0.14 | -0.04 | 0.6x | 210 | 65% |
| ADX / DI 방향성 period=24, threshold=37 |
-0.1% | -1.9% | -0.27 | -0.05 | 1.0x | 2 | 0% |
| Buy and hold | 8.5% | -57.8% | 0.52 | 0.15 | 5.4x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 94 days