Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Short Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Short Term Treasury ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.0%, drawdown -1.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=63, threshold=0.09 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
-0.2% | -1.5% | -0.35 | -0.11 | 1.0x | 4 | 7% |
| ADX / DI 방향성 period=38, threshold=50 |
-0.3% | -2.6% | -0.56 | -0.10 | 1.0x | 6 | 10% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=4 |
-0.4% | -3.8% | -0.63 | -0.11 | 1.0x | 8 | 12% |
| Donchian 채널 돌파 entryN=122, exitN=76 |
-0.9% | -7.8% | -0.84 | -0.11 | 0.9x | 12 | 28% |
| SMA 크로스오버 fast=41, slow=198 |
-1.3% | -11.3% | -1.07 | -0.11 | 0.9x | 22 | 39% |
| EMA 크로스오버 fast=102, slow=147 |
-1.8% | -16.1% | -1.39 | -0.11 | 0.8x | 28 | 45% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-3.3% | -27.2% | -2.19 | -0.12 | 0.7x | 53 | 43% |
| Supertrend period=7, mult=5 |
-4.0% | -32.6% | -2.60 | -0.12 | 0.7x | 62 | 31% |
| MACD fast=24, slow=58, signal=19 |
-8.9% | -58.8% | -4.29 | -0.15 | 0.4x | 156 | 53% |
| Buy and hold | -0.0% | -1.3% | -0.02 | -0.02 | 1.0x | 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 63-day return is greater than 9%
- Sell — Sell when the 63-day return drops to 9% or below