Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco BulletShares 2030 Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco BulletShares 2030 Corporate Bond ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -2.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.3%, drawdown -25.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -2.6%, Sharpe 0.27, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR -0.2%, MDD -2.0%, 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=11, k=2.6 |
0.4% | -2.6% | 0.27 | 0.17 | 1.0x | 8 | 5% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=24, mult=2.4 |
0.3% | -3.7% | 0.16 | 0.08 | 1.0x | 10 | 8% |
| ROC 모멘텀 n=132, threshold=-0.08 |
-0.3% | -13.3% | -0.04 | -0.03 | 1.0x | 7 | 80% |
| Supertrend period=9, mult=4.1 |
-0.8% | -8.2% | -0.19 | -0.10 | 1.0x | 22 | 39% |
| Donchian 채널 돌파 entryN=122, exitN=38 |
-0.3% | -4.2% | -0.20 | -0.07 | 1.0x | 4 | 13% |
| SMA 크로스오버 fast=21, slow=127 |
-1.2% | -8.8% | -0.33 | -0.14 | 0.9x | 12 | 41% |
| ADX / DI 방향성 period=30, threshold=30 |
-0.2% | -2.0% | -0.36 | -0.12 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=22, slow=211 |
-1.1% | -7.9% | -0.36 | -0.13 | 0.9x | 8 | 37% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.9% | -12.9% | -0.43 | -0.15 | 0.9x | 42 | 46% |
| MACD fast=29, slow=62, signal=18 |
-2.3% | -15.4% | -0.48 | -0.15 | 0.9x | 38 | 45% |
| Buy and hold | -3.3% | -25.3% | -0.48 | -0.13 | 0.8x | 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 11-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 11-day middle average