Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco BulletShares 2026 Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco BulletShares 2026 Corporate Bond ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.3%, drawdown -16.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.8%, MDD -1.8%, Sharpe 0.73, 7% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 14.7%p (CAGR 0.2%, MDD -0.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=45, k=3 |
0.8% | -1.8% | 0.73 | 0.42 | 1.1x | 2 | 7% |
| ADX / DI 방향성 period=38, threshold=27 |
0.6% | -2.0% | 0.59 | 0.27 | 1.1x | 2 | 5% |
| ROC 모멘텀 n=36, threshold=0.06 |
0.2% | -0.9% | 0.44 | 0.21 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=3.9 |
0.4% | -4.9% | 0.26 | 0.07 | 1.0x | 10 | 14% |
| Donchian 채널 돌파 entryN=45, exitN=73 |
0.3% | -9.6% | 0.12 | 0.03 | 1.0x | 16 | 54% |
| Supertrend period=27, mult=4.6 |
0.1% | -10.0% | 0.06 | 0.01 | 1.0x | 26 | 54% |
| SMA 크로스오버 fast=51, slow=199 |
-0.2% | -16.5% | -0.05 | -0.01 | 1.0x | 10 | 50% |
| EMA 크로스오버 fast=31, slow=140 |
-0.5% | -16.2% | -0.15 | -0.03 | 1.0x | 12 | 53% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.6% | -22.8% | -0.85 | -0.11 | 0.8x | 76 | 48% |
| MACD fast=17, slow=56, signal=24 |
-4.4% | -35.9% | -1.43 | -0.12 | 0.6x | 98 | 48% |
| Buy and hold | -0.3% | -16.5% | -0.05 | -0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 45-day average (3× volatility)
- Sell — Sell when the close falls back to the 45-day middle average