Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco BulletShares 2029 Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco BulletShares 2029 Corporate Bond ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.1%, drawdown -22.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.5%, Sharpe 0.51, 1% exposure.
CAGR reference leader: Supertrend — CAGR 0.9%, MDD -13.7%, exposure 56%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 0.2%, 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=72, threshold=0.11 |
0.2% | -0.5% | 0.51 | 0.36 | 1.0x | 2 | 1% |
| Supertrend period=48, mult=4.3 |
0.9% | -13.7% | 0.23 | 0.07 | 1.1x | 26 | 56% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=2.5 |
-0.1% | -2.8% | -0.06 | -0.04 | 1.0x | 8 | 5% |
| 볼린저 밴드 돌파 n=41, k=3.2 |
-0.0% | -1.6% | -0.07 | -0.03 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=121, exitN=17 |
-0.2% | -2.2% | -0.15 | -0.07 | 1.0x | 6 | 9% |
| SMA 크로스오버 fast=59, slow=130 |
-0.7% | -14.6% | -0.16 | -0.05 | 1.0x | 14 | 46% |
| EMA 크로스오버 fast=15, slow=71 |
-1.2% | -12.0% | -0.27 | -0.10 | 0.9x | 22 | 51% |
| ADX / DI 방향성 period=27, threshold=20 |
-0.8% | -7.7% | -0.38 | -0.10 | 0.9x | 14 | 11% |
| MACD fast=24, slow=55, signal=30 |
-1.7% | -15.3% | -0.38 | -0.11 | 0.9x | 44 | 48% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.9% | -22.0% | -0.43 | -0.09 | 0.9x | 50 | 53% |
| Buy and hold | -1.1% | -22.2% | -0.11 | -0.05 | 0.9x | 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 72-day return is greater than 11%
- Sell — Sell when the 72-day return drops to 11% or below