Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Low Volatility ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Low Volatility ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.6%, drawdown -36.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.7%, MDD -18.0%, Sharpe 0.68, 96% 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 96% n=78, threshold=-0.09 |
7.7% | -18.0% | 0.68 | 0.43 | 3.1x | 11 | 96% |
| EMA 크로스오버 fast=11, slow=196 |
3.7% | -24.8% | 0.40 | 0.15 | 1.7x | 35 | 81% |
| SMA 크로스오버 fast=15, slow=201 |
2.8% | -29.3% | 0.32 | 0.10 | 1.5x | 33 | 79% |
| Donchian 채널 돌파 entryN=16, exitN=29 |
2.3% | -18.8% | 0.28 | 0.12 | 1.4x | 73 | 75% |
| Supertrend period=27, mult=2.9 |
2.3% | -17.7% | 0.27 | 0.13 | 1.4x | 109 | 71% |
| 볼린저 밴드 돌파 n=30, k=3.1 |
0.4% | -5.8% | 0.24 | 0.06 | 1.1x | 8 | 5% |
| ADX / DI 방향성 period=30, threshold=27 |
0.6% | -6.4% | 0.24 | 0.09 | 1.1x | 6 | 5% |
| Parabolic SAR step=0.005, maxStep=0.1 |
1.4% | -20.3% | 0.20 | 0.07 | 1.2x | 135 | 62% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=3.5 |
-0.2% | -21.7% | -0.01 | -0.01 | 1.0x | 48 | 35% |
| MACD fast=13, slow=39, signal=11 |
-4.4% | -50.2% | -0.47 | -0.09 | 0.5x | 261 | 52% |
| Buy and hold | 7.6% | -36.6% | 0.58 | 0.21 | 3.1x | 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 78-day return is greater than -9%
- Sell — Sell when the 78-day return drops to -9% or below