Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco BulletShares 2026 High Yield Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco BulletShares 2026 High Yield 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 0.1%, MDD -0.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.2%, drawdown -25.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.7%, Sharpe 0.26, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 0.1%, MDD -0.7%, exposure 0%).
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=48, threshold=0.16 |
0.1% | -0.7% | 0.26 | 0.17 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=40, slow=96 |
-0.1% | -7.2% | -0.03 | -0.02 | 1.0x | 12 | 56% |
| Donchian 채널 돌파 entryN=118, exitN=60 |
-0.2% | -6.8% | -0.08 | -0.03 | 1.0x | 8 | 41% |
| SMA 크로스오버 fast=51, slow=109 |
-0.9% | -13.2% | -0.19 | -0.07 | 0.9x | 14 | 51% |
| ADX / DI 방향성 period=36, threshold=27 |
-0.1% | -1.0% | -0.19 | -0.09 | 1.0x | 2 | 0% |
| Supertrend period=24, mult=5 |
-1.3% | -14.7% | -0.25 | -0.09 | 0.9x | 30 | 61% |
| 볼린저 밴드 돌파 n=64, k=3.1 |
-0.2% | -1.8% | -0.53 | -0.12 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=16, mult=3.9 |
-0.3% | -2.7% | -0.62 | -0.13 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.7% | -29.6% | -0.69 | -0.12 | 0.7x | 62 | 54% |
| MACD fast=11, slow=33, signal=19 |
-6.6% | -44.3% | -1.25 | -0.15 | 0.6x | 119 | 45% |
| Buy and hold | -1.2% | -25.0% | -0.10 | -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 48-day return is greater than 16%
- Sell — Sell when the 48-day return drops to 16% or below