Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Top 50 ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Top 50 ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -25.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -53.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -25.4%, Sharpe 0.69, 74% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 28.5%p (CAGR 8.1%, MDD -25.4%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=18, slow=162 |
8.1% | -25.4% | 0.69 | 0.32 | 5.2x | 35 | 74% |
| Donchian 채널 돌파 entryN=99, exitN=106 |
6.8% | -20.1% | 0.61 | 0.34 | 4.0x | 19 | 75% |
| EMA 크로스오버 fast=7, slow=211 |
6.9% | -26.0% | 0.60 | 0.26 | 4.1x | 43 | 76% |
| ROC 모멘텀 n=122, threshold=-0.03 |
5.9% | -27.1% | 0.51 | 0.22 | 3.3x | 97 | 80% |
| Supertrend period=17, mult=4.5 |
3.9% | -30.9% | 0.42 | 0.13 | 2.2x | 102 | 64% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.8% | -32.8% | 0.30 | 0.09 | 1.8x | 110 | 70% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=26, mult=3.8 |
2.0% | -24.2% | 0.30 | 0.08 | 1.5x | 68 | 40% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
2.1% | -26.6% | 0.28 | 0.08 | 1.6x | 158 | 52% |
| ADX / DI 방향성 period=36, threshold=28 |
0.1% | -1.7% | 0.16 | 0.06 | 1.0x | 2 | 1% |
| MACD fast=23, slow=53, signal=24 |
0.8% | -41.1% | 0.12 | 0.02 | 1.2x | 192 | 53% |
| Buy and hold | 9.4% | -53.8% | 0.57 | 0.17 | 6.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 18-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 18-day average falls below the 162-day average