Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco DB USD Index Bullish Fund ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco DB USD Index Bullish Fund ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.6%, drawdown -22.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.4%, MDD -21.5%, Sharpe 0.09, 53% 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=50, exitN=63 |
0.4% | -21.5% | 0.09 | 0.02 | 1.1x | 39 | 53% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
0.2% | -11.4% | 0.07 | 0.01 | 1.0x | 18 | 10% |
| SMA 크로스오버 fast=53, slow=154 |
0.1% | -23.4% | 0.05 | 0.01 | 1.0x | 31 | 49% |
| ADX / DI 방향성 period=28, threshold=33 |
0.0% | -2.2% | 0.03 | 0.01 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=40, slow=98 |
-0.5% | -25.5% | -0.04 | -0.02 | 0.9x | 41 | 50% |
| ROC 모멘텀 n=123, threshold=0.1 |
-0.3% | -13.7% | -0.09 | -0.02 | 0.9x | 36 | 5% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=24, mult=3.3 |
-0.6% | -19.8% | -0.10 | -0.03 | 0.9x | 65 | 30% |
| Supertrend period=17, mult=4.8 |
-1.4% | -33.0% | -0.22 | -0.04 | 0.8x | 79 | 48% |
| MACD fast=30, slow=57, signal=24 |
-2.6% | -45.0% | -0.42 | -0.06 | 0.6x | 152 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.4% | -51.9% | -0.57 | -0.07 | 0.5x | 158 | 48% |
| Buy and hold | 0.6% | -22.7% | 0.11 | 0.03 | 1.1x | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 63 days