Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco BulletShares 2027 Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco BulletShares 2027 Corporate Bond ETF. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.3%, drawdown -18.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.61, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.2%, MDD -17.3%, exposure 54%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 17.6%p (CAGR 0.3%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=42, threshold=0.07 |
0.3% | -0.5% | 0.61 | 0.58 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=53, k=3 |
0.6% | -2.8% | 0.56 | 0.22 | 1.1x | 2 | 7% |
| ADX / DI 방향성 period=38, threshold=25 |
0.5% | -2.3% | 0.53 | 0.23 | 1.0x | 2 | 6% |
| SMA 크로스오버 fast=39, slow=327 |
1.2% | -17.3% | 0.31 | 0.07 | 1.1x | 6 | 54% |
| EMA 크로스오버 fast=100, slow=212 |
1.1% | -17.3% | 0.29 | 0.07 | 1.1x | 4 | 56% |
| Donchian 채널 돌파 entryN=113, exitN=33 |
0.3% | -7.6% | 0.18 | 0.04 | 1.0x | 12 | 27% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=28, mult=3.9 |
0.2% | -6.7% | 0.16 | 0.03 | 1.0x | 8 | 11% |
| Supertrend period=18, mult=4.5 |
0.2% | -9.4% | 0.09 | 0.02 | 1.0x | 29 | 57% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-0.4% | -14.6% | -0.13 | -0.03 | 1.0x | 37 | 53% |
| MACD fast=20, slow=56, signal=27 |
-2.6% | -23.6% | -0.78 | -0.11 | 0.8x | 69 | 49% |
| Buy and hold | -0.3% | -18.1% | -0.02 | -0.01 | 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 42-day return is greater than 7%
- Sell — Sell when the 42-day return drops to 7% or below