Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P MidCap Quality ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P MidCap Quality ETF. 1 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 -28.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -58.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -38.8%, Sharpe 0.60, 85% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 7.4%, MDD -28.3%, exposure 73%).
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=22, exitN=92 |
8.4% | -38.8% | 0.60 | 0.22 | 4.9x | 33 | 85% |
| EMA 크로스오버 fast=54, slow=174 |
7.4% | -28.3% | 0.58 | 0.26 | 4.1x | 19 | 73% |
| SMA 크로스오버 fast=30, slow=165 |
6.0% | -28.3% | 0.49 | 0.21 | 3.2x | 31 | 69% |
| ROC 모멘텀 n=189, threshold=-0.01 |
3.9% | -35.0% | 0.35 | 0.11 | 2.1x | 115 | 71% |
| Supertrend period=11, mult=5 |
2.6% | -31.2% | 0.27 | 0.08 | 1.7x | 103 | 61% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=1.9 |
2.1% | -27.2% | 0.24 | 0.08 | 1.5x | 127 | 54% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
0.3% | -2.6% | 0.21 | 0.10 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=33, threshold=24 |
0.5% | -11.6% | 0.19 | 0.04 | 1.1x | 14 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.2% | -37.8% | -0.03 | -0.03 | 0.8x | 189 | 61% |
| MACD fast=8, slow=33, signal=15 |
-5.6% | -70.3% | -0.38 | -0.08 | 0.3x | 368 | 51% |
| Buy and hold | 8.1% | -58.4% | 0.48 | 0.14 | 4.7x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 92 days